stochas- tic dual dynamic programming

Multistage stochastic integer programming (MSIP) combines the difficulty of uncertainty, dynamics, and non-convexity, and constitutes a class of extremely challenging problems. A common formulation for these problems is a dynamic programming formulation involving nested cost-to-go functions. In the linear setting, the cost-to-go functions are convex polyhedral, and decomposition algorithms, such as nested Benders’ decomposition and … Read more