Bi-objective multistage stochastic linear programming

被引：3
|
作者：
Dowson, O. [1 ]
Morton, D. P. [1 ]
Downward, A. [2 ]
机构：
[1] Northwestern Univ, Dept Ind Engn & Management Sci, Evanston, IL 60208 USA
[2] Univ Auckland, Dept Engn Sci, Auckland, New Zealand
来源：
MATHEMATICAL PROGRAMMING | 2022年 / 196卷 / 1-2期
关键词：
Bi-objective; Non-convex; Stochastic dual dynamic programming; Stochastic programming; DECOMPOSITION METHODS; CONVERGENCE; ALGORITHM;
D O I：
10.1007/s10107-022-01872-x
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
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 functions, and we exploit this structure, developing a new variant of the stochastic dual dynamic programming algorithm. Our algorithm is implemented in the open-source stochastic programming solver SDDP.jl. We apply our algorithm to a hydro-thermal scheduling problem using data from the Brazilian Interconnected Power System. We also propose and implement a computationally tractable heuristic for bi-objective stochastic convex programs.
引用
收藏
页码：907 / 933
页数：27
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