Readings

On this page, we've collated a variety of papers and books we think are helpful readings that cover knowledge needed to use SDDP.jl.

Stochastic Optimization

A general primer on Stochastic Programming

• Birge, J.R., Louveaux, F., 2011. Introduction to Stochastic Programming, Springer Series in Operations Research and Financial Engineering. Springer New York, New York, NY. doi:10.1007/978-1-4614-0237-4

Some overviews of Stochastic Optimization and where it sits in relation to other fields

• Powell, W.B., 2014. Clearing the Jungle of Stochastic Optimization, in: Newman, A.M., Leung, J., Smith, J.C., Greenberg, H.J. (Eds.), Bridging Data and Decisions. INFORMS, pp. 109–137. link

• Powell, W.B., 2016. A Unified Framework for Optimization under Uncertainty TutORials in Operations Research, in: Optimization Challenges in Complex, Networked and Risky Systems. pp. 45–83. link

Stochastic Dual Dynamic Programming

The original paper presenting SDDP

• Pereira, M.V.F., Pinto, L.M.V.G., 1991. Multi-stage stochastic optimization applied to energy planning. Mathematical Programming 52, 359–375. doi:10.1007/BF01582895

The paper presenting the Markov version of SDDP implemented in this library

• Philpott, A.B., de Matos, V.L., 2012. Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion. European Journal of Operational Research 218, 470–483. doi:10.1016/j.ejor.2011.10.056

SDDP.jl

Two papers about SDDP.jl

• Dowson, O., Kapelevich, L. (2017). SDDP.jl: a Julia package for Stochastic Dual Dynamic Programming. Optimization Online. link

• Downward, A., Dowson, O., and Baucke, R. (2018). On the convergence of a cutting plane method for multistage stochastic programming problems with stagewise dependent price uncertainty. Optimization Online. link

Julia

The organisation's website

• https://julialang.org/

The paper describing Julia

• Bezanson, J., Edelman, A., Karpinski, S., Shah, V.B., 2017. Julia: A Fresh Approach to Numerical Computing. SIAM Review 59, 65–98. doi:10.1137/141000671

JuMP

Source code on Github

• https://www.github.com/JuliaOpt/JuMP.jl

The paper describing JuMP

• Dunning, I., Huchette, J., Lubin, M., 2017. JuMP: A Modeling Language for Mathematical Optimization. SIAM Review 59, 295–320. doi:10.1137/15M1020575