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The policy graph decomposition of multistage stochastic optimization problems

Oscar Dowson (oscar.dowson***at***northwestern.edu)

Abstract: We propose the policy graph as a way of formulating multistage stochastic optimization problems. We also propose an extension to the stochastic dual dynamic programming algorithm to solve a class of problems formulated as a policy graph. This class includes discrete-time, infinite horizon, multistage stochastic optimization problems with continuous state and control variables.

Keywords: policy graph, multistage, stochastic programming, infinite horizon

Category 1: Stochastic Programming

Citation:

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Entry Submitted: 11/06/2018
Entry Accepted: 11/07/2018
Entry Last Modified: 11/06/2019

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