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SDDP.jl : A Julia Package for Stochastic Dual Dynamic Programming
9 references·1 citing·36 second hop
SDDP.jl : A Julia Package for Stochastic Dual Dynamic Programming (2020)SDDP.jl : A Julia Package for Stochastic …Stochastic dual dynamic integer programming (2018)Stochastic dual dynamic integ…On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs (2014)On the Convergence of Decompo…Clearing the Jungle of Stochastic Optimization (2014)Clearing the Jungle of Stocha…On Solving Multistage Stochastic Programs with Coherent Risk Measures (2013)On Solving Multistage Stochas…Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion (2011)Dynamic sampling algorithms f…Analysis of stochastic dual dynamic programming method (2010)Analysis of stochastic dual d…On the convergence of stochastic dual dynamic programming and related methods (2008)On the convergence of stochas…Coherent Measures of Risk (1999)Coherent Measures of RiskDecomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Mature offshore oil field development: Solving a real options problem using stochastic dual dynamic integer programming (2021)Mature offshore oil field dev…Introduction to Stochastic Programming (1998)Introduction to Stochastic Programming (2011)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice (2019)Lectures on Stochastic Programming: Modeling and Theory (2009)Monte Carlo sampling-based methods for stochastic optimization (2014)A unified framework for stochastic optimization (2018)Convex measures of risk and trading constraints (2002)Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences (2013)Evaluating policies in risk-averse multi-stage stochastic programming (2014)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Scenarios for Multistage Stochastic Programs (2000)Stochastic Programming Models (2003)Linear Programming Under Uncertainty (2004)Stochastic Linear Programming (2010)Robust Optimization of Large-Scale Systems (1995)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)A Unified Framework for Optimization Under Uncertainty (2016)Optimal use of downward substitution in a manufacturing operation subject to uncertainty (2020)Stochastic optimization for vaccine and testing kit allocation for the COVID-19 pandemic (2021)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Stochastic Programming (1995)Stochastic Programming (2010)On distributionally robust chance constrained programs with Wasserstein distance (2019)Distributionally Robust Optimization: A review on theory and applications (2021)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Potential application of generative artificial intelligence and machine learning algorithm in oil and gas sector: Benefits and future prospects (2024)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Worst-Case-Expectation Approach to Optimization Under Uncertainty (2013)Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (2016)Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets (2020)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs588 cited
  • 2010Analysis of stochastic dual dynamic programming method438 cited
  • 2018Stochastic dual dynamic integer programming297 cited
  • 2008On the convergence of stochastic dual dynamic programming and related methods232 cited
  • 2011Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion210 cited
  • 2014On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs116 cited
  • 2013On Solving Multistage Stochastic Programs with Coherent Risk Measures112 cited
  • 2014Clearing the Jungle of Stochastic Optimization110 cited

Cited by

  • 2021Mature offshore oil field development: Solving a real options problem using stochastic dual dynamic integer programming24 cited

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