Search Results - subject:"SDDP"

Approximation of multistage stochastic programming problems by smoothed quantization

Šmíd, Martin; Kozmík, Václav - In: Review of managerial science : RMS 18 (2024) 7, pp. 2079-2114

Persistent link: https://www.econbiz.de/10015134060

Foreign exchange trading and management with the stochastic dual dynamic programming method

Reus, Lorenzo; Sepúlveda-Hurtado, Guillermo Alexander - In: Financial innovation : FIN 9 (2023) 1, pp. 1-38

programming (MSP) model and solve it using the stochastic dual dynamic programming (SDDP) numerical method, which specializes in … solving high-dimensional MSP models. We construct our methodology within an open-source SDDP package, avoiding implementing …

Persistent link: https://www.econbiz.de/10014288928

Duality and sensitivity analysis of multistage linear stochastic programs

Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: European journal of operational research : EJOR 308 (2023) 2, pp. 752-767

Persistent link: https://www.econbiz.de/10014283124

Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems

Merabet, Lucas; Costa, Bernardo Freitas Paulo da; … - In: Computational management science 21 (2024) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10015195792

Dual bounds for periodical stochastic programs

Shapiro, Alexander; Cheng, Yi - In: Operations research 71 (2023) 1, pp. 120-128

Persistent link: https://www.econbiz.de/10014308404

Risk-averse stochastic optimal control : An efficiently computable statistical upper bound

Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400

Persistent link: https://www.econbiz.de/10014426574

Dual SDDP for risk-averse multistage stochastic programs

Costa, Bernardo Freitas Paulo da; Leclère, Vincent - In: Operations research letters 51 (2023) 3, pp. 332-337

Persistent link: https://www.econbiz.de/10014374928

A nonconvex regularization scheme for the stochastic dual dynamic programming algorithm

Bhattacharya, Arnab; Kharoufeh, Jeffrey P.; Zeng, Bo - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 5, pp. 1161-1178

Persistent link: https://www.econbiz.de/10014423013

Need to meet investment goals? : track synthetic indexes with the SDDP method

Reus, Lorenzo; Prado, Rodolfo - In: Computational economics 60 (2022) 1, pp. 47-69

Persistent link: https://www.econbiz.de/10013262419

Central limit theorem and sample complexity of stationary stochastic programs

Shapiro, Alexander; Cheng, Yi - In: Operations research letters 49 (2021) 5, pp. 676-681

Persistent link: https://www.econbiz.de/10013207426