Dual SDDP for risk-averse multistage stochastic programs
Published in Operations Research Letters, 2023
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such problems under time-independence assumptions. We show how to derive a dual formulation for these problems and apply an SDDP algorithm, leading to converging and deterministic upper bounds for risk-averse problems.
Recommended citation: B. F. P. da Costa, V. Leclere. "Dual SDDP for risk-averse multistage stochastic programs". Operations Research Letters, 51(3), 2023, 332-337.
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