4 papers · 1 filter
Entropic Regularization of the Nested Distance
Zheng Qu, Benoît Tran
In 2012, Pflug and Pichler proved, under regularity assumptions, that the value function in Multistage Stochastic Programming (MSP) is Lipschitz continuous w.r.t. the Nested Distan…
Minimization Interchange Theorem on Posets
Jean-Philippe Chancelier, Michel de Lara, Benoît Tran
Interchange theorems between minimization and integration are useful in optimization, especially in optimal control and in stochastic optimization. In this article, we establish a…
Tropical Dynamic Programming for Lipschitz Multistage Stochastic Programming
Marianne Akian, Jean-Philippe Chancelier, Benoît Tran
We present an algorithm called Tropical Dynamic Programming (TDP) which builds upper and lower approximations of the Bellman value functions in risk-neutral Multistage Stochastic P…
A stochastic algorithm for deterministic multistage optimization problems
Marianne Akian, Jean-Philippe Chancelier, Benoît Tran
Several attempts to dampen the curse of dimensionnality problem of the Dynamic Programming approach for solving multistage optimization problems have been investigated. One popular…