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Exact quantization of multistage stochastic linear problems
Optimization and Control · Submitted 20 Jul 2021
abstract compiled · 2026-09-23 · no language-model review
The authors' main claim We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree.
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The abstract, sentence by sentence
We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. We establish this exact quantization result by analyzing the polyhedral structure of MSLPs. In particular, we show that the expected cost-to-go functions are polyhedral and affine on the cells of a chamber complex, which is independent of the cost distribution. This leads to new complexity results, showing that MSLP is fixed-parameter tractable.
background contribution method result interpretation main claim
| # | sentence | role | the authors' own work | states the main conclusion | strength |
|---|---|---|---|---|---|
| s0 | We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. | result 0.95 | 0.93 | 0.88 | asserted 1.00 |
| s1 | We establish this exact quantization result by analyzing the polyhedral structure of MSLPs. | method 0.97 | 0.93 | 0.08 | asserted 1.00 |
| s2 | In particular, we show that the expected cost-to-go functions are polyhedral and affine on the cells of a chamber complex, which is independent of the cost distribution. | result 0.85 | 0.93 | 0.11 | asserted 1.00 |
| s3 | This leads to new complexity results, showing that MSLP is fixed-parameter tractable. | result 0.81 | 0.92 | 0.19 | asserted 1.00 |
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Original abstract
We show that the multistage linear problem (MSLP) with an arbitrary cost distribution is equivalent to a MSLP on a finite scenario tree. We establish this exact quantization result by analyzing the polyhedral structure of MSLPs. In particular, we show that the expected cost-to-go functions are polyhedral and affine on the cells of a chamber complex, which is independent of the cost distribution. This leads to new complexity results, showing that MSLP is fixed-parameter tractable.
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Finally, Lan [ref] and Zhang and Sun [ref] independently analysed the complexity of Stochastic Dual Dynamic Programming (SDDP).
Stochastic Dual Dynamic Programming for Multistage Stochastic Mixed-Integer Nonlinear Optimization · Comparison with related work · 0.96
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