Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs


Autoria(s): Guigues, Vincent Gérard Yannick
Data(s)

06/04/2016

06/04/2016

2016

Resumo

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

Identificador

http://hdl.handle.net/10438/16239

Idioma(s)

en_US

Publicador

EMAp - Escola de Matemática Aplicada

Palavras-Chave #Stochastic programming #Risk-averse optimization #Decomposition algorithms #Monte Carlo sampling #Relatively complete recourse #Processo estocástico #Monte Carlo, Método de
Tipo

Article (Journal/Review)