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· 2023

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math.OC 1

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2025 1

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Stochastic Quadratic Dynamic Programming

math.OC · 2025-06-08 · conditional · novelty 7.0

SQDP replaces affine cuts with quadratic cuts in SDDP for strongly convex multistage stochastic programs, with convergence proofs and faster runtimes in experiments on multistage and deterministic strongly convex problems.

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  • Stochastic Quadratic Dynamic Programming math.OC · 2025-06-08 · conditional · none · ref 12

    SQDP replaces affine cuts with quadratic cuts in SDDP for strongly convex multistage stochastic programs, with convergence proofs and faster runtimes in experiments on multistage and deterministic strongly convex problems.