IDEAS home Printed from https://ideas.repec.org/h/spr/isochp/978-3-031-84837-7_18.html
   My bibliography  Save this book chapter

Methods for Multistage Stochastic Linear Programs

In: Methods of Nonsmooth Optimization in Stochastic Programming

Author

Listed:
  • Wim Stefanus Ackooij

    (Électricité de France (EDF R&D))

  • Welington Luis de Oliveira

    (Mines Paris - PSL)

Abstract

Instead of splitting methods that decompose stochastic programs into scenarios, this chapter focuses on node-decomposition approaches for solving multistage stochastic programs. Given a multistage scenario tree, strategies based on node decomposition yield smaller and simpler subproblems, reliable lower bound on the optimal value, and, more importantly, cutting-plane approximations of dynamic functions modelling future random costs. This chapter starts with the well-known nested decomposition (ND), which is an extension of the Benders decomposition to multistage stochastic linear programs. It then passes to a randomized variant of ND, denoted by stochastic dual dynamic programming (SDDP) algorithm. The focus is the linear setting.

Suggested Citation

  • Wim Stefanus Ackooij & Welington Luis de Oliveira, 2025. "Methods for Multistage Stochastic Linear Programs," International Series in Operations Research & Management Science, in: Methods of Nonsmooth Optimization in Stochastic Programming, chapter 0, pages 497-519, Springer.
    • Handle: RePEc:spr:isochp:978-3-031-84837-7_18
    DOI: 10.1007/978-3-031-84837-7_18
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:isochp:978-3-031-84837-7_18. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.