Stochastic Dual Dynamic Programming And Its Variants – A Review
We provide a tutorial-type review on stochastic dual dynamic programming (SDDP), as one of the state-of-the-art solution methods for large-scale multistage stochastic programs. Since introduced about 30 years ago for solving large-scale multistage stochastic linear programming problems in energy planning, SDDP has been applied to practical problems from several fields and is enriched by various … Read more