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Stochastic Dual Dynamic Programming - A Review

Christian Füllner(christian.fuellner***at***kit.edu)
Steffen Rebennack(steffen.rebennack***at***kit.edu)

Abstract: We provide an extensive review on stochastic dual dynamic programming (SDDP), as one of the state-of-the-art solution methods for multistage stochastic programs. Since introduced about 30 years ago for solving large-scale multistage stochastic linear programming problems in a hydrothermal context, SDDP has been applied to practical problems from several fields and is enriched by various improvements and enhancements to broader problem classes. We give a detailed introduction to SDDP, with special focus on its motivation and required assumptions. Then, we present and discuss in depth the existing enhancements as well as current research trends, which allow for an alleviation of those assumptions.

Keywords: Stochastic programming, Multistage, Stochastic dual dynamic programming, Review

Category 1: Stochastic Programming

Citation: Preprint, Karlsruhe Institute of Technology, 2021

Download: [PDF]

Entry Submitted: 01/19/2021
Entry Accepted: 01/19/2021
Entry Last Modified: 01/19/2021

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