Complexity of stochastic dual dynamic programming

Stochastic dual dynamic programming is a cutting plane type algorithm for multi-stage stochastic optimization originated about 30 years ago. In spite of its popularity in practice, there does not exist any analysis on the convergence rates of this method. In this paper, we first establish the number...

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Bibliographic Details
Published in:	Mathematical programming Vol. 191; no. 2; pp. 717 - 754
Main Author:	Lan, Guanghui
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.02.2022 Springer Springer Nature B.V
Subjects:	Algorithms Calculus of Variations and Optimal Control; Optimization Combinatorics Complexity Decision making Dynamic programming Flying-machines Full Length Paper Iterative methods Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Optimal control Optimization Stochastic processes Theoretical 90C06 93A14 90C15 49M37 90C25 90C22
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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