Bernardo Freitas Paulo da Costa

Dual SDDP for risk-averse multistage stochastic programs

  • Bernardo Freitas Paulo da Costa
  • Vincent Leclère
    • Categories Dynamic Programming, Stochastic Programming Tags , , , ,

    Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well known tool to address such problems under time-independence assumptions. We show how to derive a dual formulation for these problems and apply an SDDP algorithm, leading to converging and deterministic upper bounds for risk-averse … Read more

    Stochastic Lipschitz Dynamic Programming

  • Shabbir Ahmed
  • Filipe G. Cabral
  • Bernardo Freitas Paulo da Costa
    • Categories Dynamic Programming, Integer Programming, Stochastic Programming Tags , , ,

    We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower approximations for the non-convex cost to go functions. An example of such a class of cuts are those derived using … Read more