234 Weil Hall
1949 Stadium Road
Gainesville, FL 32611
David Morton, Ph.D.
David A. & Karen Richards Sachs Professor & Department Chair
Department of Industrial Engineering & Management Sciences, Northwestern University
Abstract: Models and Algorithms for Multi-stage Stochastic Programming
We consider two classes of multi-stage stochastic linear programs (MSLPs) that lend themselves to solution by stochastic dual dynamic programming (SDDP). First, we consider a distributionally robust MSLP. Here, the specific realizations in each stage are fixed, and distributional robustness is with respect to the probability mass function governing those realizations. Second, we consider a class of partially observable MSLPs. In both cases, we describe a computationally tractable variant of SDDP to solve the model. This is joint work with Oscar Dowson, Daniel Duque, and Bernardo Pagnoncelli.
Department of Industrial and Systems Engineering at the University of Florida