Parallel and distributed computing for stochastic dual dynamic programming

We study different parallelization schemes for the stochastic dual dynamic programming (SDDP) algorithm. We propose a taxonomy for these parallel algorithms, which is based on the concept of parallelizing by scenario and parallelizing by node of the underlying stochastic process. We develop a synchr...

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Bibliographic Details
Published in:	Computational management science Vol. 19; no. 2; pp. 199 - 226
Main Authors:	Ávila, D., Papavasiliou, A., Löhndorf, N.
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.06.2022 Springer Nature B.V
Subjects:	Algorithms Business and Management Computer networks Configurations Distributed processing Dynamic programming Hyperplanes Nodes Operations Research/Decision Theory Optimization Original Paper Stochastic processes Taxonomy Parallel computing Stochastic dual dynamic programming Multistage stochastic programming High performance computing Distributed computing
ISSN:	1619-697X, 1619-6988
Online Access:	Get full text
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