Improving the performance of Stochastic Dual Dynamic Programming

Multi-stage stochastic optimization applied to energy planning

M.V.F. Pereira, L.M.V.G. Pinto · Mathematical Programming · 1991 · 1.3K citations

Engineering, Energy Management, Energy Optimization +4

A Version of the Bundle Idea for Minimizing a Nonsmooth Function: Conceptual Idea, Convergence Analysis, Numerical Results

Helga Schramm, Jochem Zowe · SIAM Journal on Optimization · 1992 · 476 citations

Mathematical Programming, Numerical Analysis, Engineering +15

Analysis of stochastic dual dynamic programming method

Alexander Shapiro · European Journal of Operational Research · 2010 · 422 citations

Mathematical Programming, Engineering, Systems Engineering +4

A regularized decomposition method for minimizing a sum of polyhedral functions

Andrzej Ruszczyński · Mathematical Programming · 1986 · 282 citations

Numerical Analysis, Conic Optimization, Mathematical Programming +12

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Alexander Shapiro, Wajdi Tekaya, Joari Paulo da Costa et al. · European Journal of Operational Research · 2012 · 252 citations

Mathematical Programming, Engineering, Dynamic Optimization +8