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Dynamic programming and dimensionality in convex stochastic control

Published: 2025/01/24
  • Teemu Pennanen
  • Ari-Pekka Perkkiö
    • Categories Dynamic Programming, Stochastic Programming Short URL: https://optimization-online.org/?p=29188

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    A Decomposition Framework for Nonlinear Nonconvex Two-Stage Optimization
    Local Upper Bounds for Polyhedral Cones
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    Keywords

    alternating direction method of multipliers augmented lagrangian method bilevel optimization Branch-and-Bound branch-and-cut chance constraints column generation combinatorial optimization complexity conic optimization convergence rate convex optimization cutting planes decomposition derivative-free optimization distributionally robust optimization duality dynamic programming first-order methods global convergence global optimization heuristics integer programming interior point methods large-scale optimization linear programming machine learning mixed-integer linear programming mixed-integer nonlinear programming mixed-integer programming multiobjective optimization nonconvex optimization nonlinear optimization nonlinear programming nonsmooth optimization optimal control optimization proximal point algorithm quadratic programming robust optimization semidefinite programming stochastic optimization stochastic programming trust-region methods unconstrained optimization

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