Andrew B. Philpott

On the convergence of decomposition methods for multi-stage stochastic convex programs

  • Pierre Girardeau
  • Vincent Leclère
  • Andrew B. Philpott
    • Categories Convex Optimization, Dynamic Programming, Stochastic Programming Tags , , , ,

    We prove the almost-sure convergence of a class of sampling-based nested decomposition algorithms for multistage stochastic convex programs in which the stage costs are general convex functions of the decisions, and uncertainty is modelled by a scenario tree. As special cases, our results imply the almost-sure convergence of SDDP, CUPPS and DOASA when applied to … Read more

    Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

  • Vitor de Matos
  • Andrew B. Philpott
    • Categories Dynamic Programming, Stochastic Programming Tags , ,

    We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of … Read more