Bi-objective multistage stochastic linear programming

• 成果类型: Article
• 署名作者: Dowson, O.; Morton, D. P.; Downward, A.
• 署名单位: Northwestern University; University of Auckland
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-022-01872-x
• 发表日期: 2022
• 页码: 907-933
• 关键词: Decomposition methods; CONVERGENCE; algorithm

摘要

We propose an algorithm for solving a class of bi-objective multistage stochastic linear programs. We show that the cost-to-go functions are saddle functions, and we exploit this structure, developing a new variant of the stochastic dual dynamic programming algorithm. Our algorithm is implemented in the open-source stochastic programming solver SDDP.jl. We apply our algorithm to a hydro-thermal scheduling problem using data from the Brazilian Interconnected Power System. We also propose and implement a computationally tractable heuristic for bi-objective stochastic convex programs.