In this paper we investigate the dual of a Multistage Stochastic Linear Program (MSLP). By
writing Dynamic Programming equations for the dual, we can employ an SDDP type method …

The stochastic dual dynamic programming (SDDP) algorithm has become one of the main
tools used to address convex multistage stochastic optimal control problems. Recently a …

We provide a tutorial-type review on stochastic dual dynamic programming (SDDP), 4 as
one of the state-of-the-art solution methods for large-scale multistage stochastic programs …

Network design problems involve constructing edges in a transportation or supply chain
network to minimize construction and daily operational costs. We study a stochastic version …

Network design problems involve constructing edges in a transportation or supply chain
network to minimize construction and daily operational costs. We study a data-driven version …

We consider a dual dynamic programming algorithm for solving stochastic programs over an
infinite horizon. We show non-asymptotic convergence results when using an explorative …

We introduce an inexact variant of stochastic mirror descent (SMD), called inexact stochastic
mirror descent (ISMD), to solve nonlinear two-stage stochastic programs where the second …

Stochastic dual dynamic programming (SDDP) is a cutting-edge methodology for
addressing the challenges related to the uncertainties in the generation scheduling of …

Portfolio optimization is one of the most important issues in financial markets. In this regard,
the more realistic are assumptions and conditions of modelling to portfolio optimization into …

We define a regularized variant of the dual dynamic programming algorithm called DDP-
REG to solve nonlinear dynamic programming equations. We extend the algorithm to solve …