Stochastic dual dynamic programming for multistage stochastic mixed-integer nonlinear optimization - Zhang, Shixuan; Sun, Xu Andy (Mathematical programming, 2022)
Keywords: Algorithms; Calculus of Variations and Optimal Control; Optimization; Combinatorics; Complexity; Computational geometry; Convexity; Dynamic programming; Full Length Paper; Global optimization; Investment analysis; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematical optimization; Mathematics; Mathematics and Statistics; Mathematics of Computing; Mixed integer; Numerical Analysis; Optimization; Regularization; Sampling; Theoretical; Complexity analysis; 90C30; 90C11; 90C39; MINLP; 90C15; 49N15; Multistage stochastic programming; SDDP; 90C60