Nils Löhndorf (WU Vienna) - Modeling Time-dependent Randomness in Stochastic Dual Dynamic Programming
Joint work with Alexander Shapiro
We consider the multistage stochastic programming problem where uncertainty enters the right-hand sides of the problem. Stochastic Dual Dynamic Programming (SDDP) is a popular method to solve such problems under the assumption that the random data process is stagewise independent. There exist two approaches to incorporate de-
pendence into SDDP type algorithms. One approach is to model the data process as an autoregressive time series and to reformulate the Read more [...]
