Month: September 2018

Inexact cuts in Stochastic Dual Dynamic Programming

  • Vincent Guigues
    • Categories Stochastic Programming Tags , , , ,

    We introduce an extension of Stochastic Dual Dynamic Programming (SDDP) to solve stochastic convex dynamic programming equations. This extension applies when some or all primal and dual subproblems to be solved along the forward and backward passes of the method are solved with bounded errors (inexactly). This inexact variant of SDDP is described both for … Read more

    Chance Constrained Programs with Gaussian Mixture Models

  • Zhaolin Hu
  • Wenjie Sun
  • Shushang Zhu
    • Categories Nonlinear Optimization, Stochastic Programming Tags , , , ,

    In this paper, we discuss input modeling and solution techniques for several classes of chance constrained programs (CCPs). We propose to use Gaussian mixture models (GMM), a semi-parametric approach, to fit the data available and to model the randomness. We demonstrate the merits of using GMM. We consider several scenarios that arise from practical applications … Read more