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- W4288358893 abstract "We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower approximations for the non-convex cost to go functions. An example of such a class of cuts are those derived using Augmented Lagrangian Duality for MILPs. The family of Lipschitz cuts we use is MILP representable, so that the introduction of these cuts does not change the class of the original stochastic optimization problem. We illustrate the application of this algorithm on two simple case studies, comparing our approach with the convex relaxation of the problems, for which we can apply SDDP, and for a discretized approximation, applying SDDiP." @default.
- W4288358893 created "2022-07-29" @default.
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- W4288358893 date "2019-05-06" @default.
- W4288358893 modified "2023-09-29" @default.
- W4288358893 title "Stochastic Lipschitz Dynamic Programming" @default.
- W4288358893 doi "https://doi.org/10.48550/arxiv.1905.02290" @default.
- W4288358893 hasPublicationYear "2019" @default.
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