• Corpus ID: 224814186

Tropical Dynamic Programming for Lipschitz Multistage Stochastic Programming.

  title={Tropical Dynamic Programming for Lipschitz Multistage Stochastic Programming.},
  author={Marianne Akian and Jean-Philippe Chancelier and Benoit Tran},
  journal={arXiv: Optimization and Control},
We present an algorithm called Tropical Dynamic Programming (TDP) which builds upper and lower approximations of the Bellman value functions in risk-neutral Multistage Stochastic Programming (MSP), with independent noises of finite supports. To tackle the curse of dimensionality, popular parametric variants of Approximate Dynamic Programming approximate the Bellman value function as linear combinations of basis functions. Here, Tropical Dynamic Programming builds upper (resp. lower… 

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