Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
Abstract In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, multistage stochastic convex optimization with non-Lipschitzian value functions and multistage stochastic mixed-int...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Berlin Heidelberg
2022
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| Online Access: | https://hdl.handle.net/1721.1/144396 |