2 papers
math.OC2021
Rolling Horizon Policies in Multistage Stochastic Programming
Murwan Siddig, Yongjia Song, Amin Khademi
Multistage Stochastic Programming (MSP) is a class of models for sequential decision-making under uncertainty. MSP problems are known for their computational intractability due to…
math.OC2019
Adaptive Partition-based SDDP Algorithms for Multistage Stochastic Linear Programming
Murwan Siddig, Yongjia Song
In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The p…