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arXiv · 1908.11346

Adaptive Partition-based SDDP Algorithms for Multistage Stochastic Linear Programming

Murwan Siddig·Yongjia Song
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Abstract

In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The proposed algorithms integrate the adaptive partition-based strategy with a popular approach for solving multistage stochastic programs, the stochastic dual dynamic programming, via different tree-traversal strategies in order to enhance its computational efficiency. Our numerical experiments on a hydro-thermal power generation planning problem show the effectiveness of the proposed algorithms.

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Murwan Siddig, Yongjia Song. 2019-08-29. Adaptive Partition-based SDDP Algorithms for Multistage Stochastic Linear Programming. https://arxiv.org/abs/1908.11346

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