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Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization
In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important...
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On Multistage Pseudomonotone Stochastic Variational Inequalities
This paper focuses on the solvability of multistage pseudomonotone stochastic variational inequalities (SVIs). On the one hand, some known...
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A Prediction–Correction ADMM for Multistage Stochastic Variational Inequalities
The multistage stochastic variational inequality is reformulated into a variational inequality with separable structure through introducing a new...
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On the study of multistage stochastic vector quasi-variational problems
This paper focuses on the study of multistage stochastic vector generalized quasi-variational inequalities with a variable ordering structure. The...
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Bi-objective multistage stochastic linear programming
We propose an algorithm for solving a class of bi-objective multistage stochastic linear programs. We show that the cost-to-go functions are saddle...
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Monotonicity and Complexity of Multistage Stochastic Variational Inequalities
In this paper, we consider multistage stochastic variational inequalities (MSVIs). First, we give multistage stochastic programs and multistage...
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Subregular recourse in nonlinear multistage stochastic optimization
We consider nonlinear multistage stochastic optimization problems in the spaces of integrable functions. We allow for nonlinear dynamics and general...
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Multistage robust optimization for the day-ahead scheduling of hybrid thermal-hydro-wind-solar systems
The integration of large-scale uncertain and uncontrollable wind and solar power generation has brought new challenges to the operations of modern...
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A Bayesian approach to data-driven multi-stage stochastic optimization
Aimed at sufficiently utilizing available data and prior distribution information, we introduce a data-driven Bayesian-type approach to solve...
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Multistage Transportation Model and Sufficient Conditions for Its Potentiality
AbstractMultistage modeling of traffic flows began to actively develop in the 1970s. Transport modeling packages were created, which are based on a...
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Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs
We introduce Stochastic Dynamic Cutting Plane (StoDCuP), an extension of the Stochastic Dual Dynamic Programming (SDDP) algorithm to solve multistage...
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Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse matrix and fixed cost...
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Accelerated Stochastic Variance Reduction for a Class of Convex Optimization Problems
Katyusha momentum is a famous and efficient alternative acceleration method that used for stochastic optimization problems, which can reduce the...
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A single cut proximal bundle method for stochastic convex composite optimization
This paper considers optimization problems where the objective is the sum of a function given by an expectation and a closed convex function, and...
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A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete...
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Mixed Spatial and Temporal Decompositions for Large-Scale Multistage Stochastic Optimization Problems
We consider multistage stochastic optimization problems involving multiple units. Each unit is a (small) control system. Static constraints couple...
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Study on the Problem of Multistage Vaccine Production and Allocation with Capacity Constraints
Vaccination is the best way to build an immune barrier to control a new infectious disease. Considering the limited production capacity at the...
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Consistency of statistical estimators of solutions to stochastic optimization problems
We consider the asymptotic behavior of the infimal values and the statistical estimators of the solutions to a general stochastic optimization...
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On the Multistage Shortest Path Problem Under Distributional Uncertainty
In this paper, we consider an ambiguity-averse multistage network game between a user and an attacker . The arc costs are assumed to be random...
