期刊
SIAM JOURNAL ON OPTIMIZATION
卷 28, 期 1, 页码 575-595出版社
SIAM PUBLICATIONS
DOI: 10.1137/16M1072231
关键词
multistage stochastic optimization; quadratic regularization; nested decomposition; stochastic dual dynamic programming
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time periods/stages (e.g., hundreds), a high-dimensional resource state variable, and a Markov information process. The resulting algorithms are shown to converge to an optimal policy after a finite number of iterations under mild technical assumptions. Computational experiments are conducted using the setting of optimizing energy storage over a large transmission grid, which motivates both the spatial and temporal dimensions of our problem. Our numerical results indicate that the proposed methods exhibit significantly faster convergence than their classical counterparts, with greater gains observed for higher-dimensional problems.
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