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Periodical Multistage Stochastic Programs

Alexander Shapiro (ashapiro***at***isye.gatech.edu)
Lingquan Ding (lding47***at***gatech.edu)

Abstract: In some applications the considered multistage stochastic programs have a periodical behavior. We show that in such cases it is possible to drastically reduce the number of stages by introducing a periodical analog of the so-called Bellman equations for discounted infinite horizon problems, used in Markov Decision Processes and Stochastic Optimal Control. Furthermore, we describe a variant of the Stochastic Dual Dynamic Programming algorithm, applied to the constructed periodical Bellman equations, and provide numerical experiments for the Brazilian interconnected power system problem.

Keywords: multistage programs, decision rules, dynamic programming, Bellman equations, SDDP algorithm, fixed point theorem

Category 1: Stochastic Programming

Citation: Technical report

Download: [PDF]

Entry Submitted: 09/15/2019
Entry Accepted: 09/15/2019
Entry Last Modified: 05/04/2020

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