Dual Bounds for Periodical Stochastic Programs

Alexander Shapiro () and Yi Cheng ()
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Alexander Shapiro: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205
Yi Cheng: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205

Operations Research, 2023, vol. 71, issue 1, 120-128

Abstract: In this paper, we discuss construction of the dual of a periodical formulation of infinite-horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound, especially when the discount factor is close to one.

Keywords: Optimization; multistage programs; dynamic programming; Bellman equation; linear programming duality; SDDP algorithm; decision rules (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:71:y:2023:i:1:p:120-128

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