Inexact cuts in SDDP applied to multistage stochastic nondifferentiable problems
Vincent Guigues,
Renato Monteiro,
Benar Svaiter
Abstract:In [13], an Inexact variant of Stochastic Dual Dynamic Programming (SDDP) called ISDDP was introduced which uses approximate (instead of exact with SDDP) primal dual solutions of the problems solved in the forward and backward passes of the method. That variant of SDDP was studied in [13] for linear and for differentiable nonlinear Multistage Stochastic Programs (MSPs). In this paper, we extend ISDDP to nondifferentiable MSPs. We first provide formulas for inexact cuts for value functions of convex nondifferen… Show more
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