Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization

In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, multistage stochastic convex optimization with non-Lipschitzian value functions and multistage stochastic mixed-integer linear optimizati...

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Vydáno v:	Mathematical programming Ročník 196; číslo 1-2; s. 935 - 985
Hlavní autoři:	Zhang, Shixuan, Sun, Xu Andy
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.11.2022 Springer Springer Nature B.V
Témata:	Algorithms Calculus of Variations and Optimal Control; Optimization Combinatorics Complexity Computational geometry Convexity Dynamic programming Full Length Paper Global optimization Investment analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematical optimization Mathematics Mathematics and Statistics Mathematics of Computing Mixed integer Numerical Analysis Optimization Regularization Sampling Theoretical Complexity analysis 90C30 90C11 90C39 MINLP 90C15 49N15 Multistage stochastic programming SDDP 90C60
ISSN:	0025-5610, 1436-4646
On-line přístup:	Získat plný text
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