Distributionally Robust Stochastic Dual Dynamic Programming

  • Daniel Duque
  • David P. Morton
    • Categories Robust Optimization, Stochastic Programming Tags , , Short URL: https://optimization-online.org/?p=16167

    We consider a multi-stage stochastic linear program that lends itself to solution by stochastic dual dynamic programming (SDDP). In this context, we consider a distributionally robust variant of the model with a finite number of realizations at each stage. Distributional robustness is with respect to the probability mass function governing these realizations. We describe a computationally tractable variant of SDDP to handle this model using the Wasserstein distance to characterize distributional uncertainty.

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    Northwestern University, Evanston, IL. Dec 2019.

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