Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization

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...

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Bibliographic Details
Main Authors: Zhang, Shixuan, Sun, Xu A.
Other Authors: Sloan School of Management
Format: Article
Language:English
Published: Springer Berlin Heidelberg 2022
Online Access:https://hdl.handle.net/1721.1/144396

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