Optimization Online


Distributionally Robust Stochastic Dual Dynamic Programming

Daniel Duque (danielduque***at***u.northwestern.edu)
David P. Morton (david.morton***at***northwestern.edu)

Abstract: We consider a multi-stage stochastic linear program that lends itself to solution by stochastic dual dynamic programming (SDDP). In this context, we consider a distributionally robust variant of the model with a finite number of realizations at each stage. Distributional robustness is with respect to the probability mass function governing these realizations. We describe a computationally tractable variant of SDDP to handle this model using the Wasserstein distance to characterize distributional uncertainty.

Keywords: Distributionally robust optimization, multi-stage stochastic programming, stochastic dual dynamic programming

Category 1: Stochastic Programming

Category 2: Robust Optimization

Citation: Northwestern University, Evanston, IL. Dec 2019.

Download: [PDF]

Entry Submitted: 12/26/2019
Entry Accepted: 12/26/2019
Entry Last Modified: 12/28/2019

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society