multi-stage stochastic optimization

Dynamic Stochastic Approximation for Multi-stage Stochastic Optimization

  • Guanghui Lan
  • Zhiqiang Zhou
    • Categories Convex and Nonsmooth Optimization, Stochastic Programming Tags , ,

    In this paper, we consider multi-stage stochastic optimization problems with convex objectives and conic constraints at each stage. We present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm, for solving these types of stochastic optimization problems. We show that DSA can achieve an optimal ${\cal O}(1/\epsilon^4)$ rate of convergence in terms … Read more

    Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning

  • Shabbir Ahmed
  • Xu Andy Sun
  • Jikai Zou
    • Categories Stochastic Programming Tags , ,

    Electric Power Generation Expansion Planning (GEP) is the problem of determining an optimal construction and generation plan of both new and existing electric power plants to meet future electricity demand. We consider a stochastic optimization approach for this capacity expansion problem under demand and fuel price uncertainty. In a two-stage stochastic optimization model for GEP, … Read more