Stochastic dual dynamic integer programming (SDDiP)

Stochastic dual dynamic integer programming (SDDiP)

Introduction

Multistage stochastic programming

• The resulting formulation, called the extensive form, is
  
• An alternative to the extensive form (1.1) is to formulate the MSP problem via the following dynamic programming (DP) recursions
  

MSIP with binary state variables

• In this section, we

  • describe the class of MSIP problem we consider in this work
  • propose the key reformulation

• 一些假设：

1. 线性（本文结果可以很容易地拓展到非线性情况，但本文聚焦于线性情况）
2. 一个重要的要求！！！——$x_n$要是binary的，$y_n$无所谓
   
   之所以有这个要求是因为：
   
3. complete continuous recourse (can always be achieved by adding nonnegative auxiliary con- tinuous variables and penalizing them in the objective function)
   

• 对本文至关重要的对(1.1)的reformulation——引入$z_n$：
  
  写成DP：
  
  

Stochastic nested decomposition (SND) and SDDiP

• In this section, we present SND and its special case SDDiP for solving (2.1):
  • SDDiP --> when the stochasticity satisfies stage-wise independence

The SND algorithm

• a sampling step
• a forward step
  
  
• a backward step
  The goal of the backward step is to update the approximate expected cost-to-go function ${\psi }_n^i(\cdot )$ for each sampled node $n\in {\omega }_k^i$.

The SDDiP algorithm

• for the setting where the scenario tree satisfies stage-wise independence, i.e., for any two nodes $n$ and $n^{\prime }$ in $S_t$ the set of children nodes $\mathcal{C}(n)$ and $\mathcal{C}(n^{\prime })$ are defined by identical data and conditional probabilities.
• ${\mathcal{Q}}_n(\cdot )\equiv {\mathcal{Q}}_t(\cdot )$ for all $n\in S_t$
  
  注：随机性出现在约束的左边或者目标函数中较难处理，会出现bilinear项
  

Sufficient cut conditions

• SND和SDDiP算法是valid的只要cut满足下面三个性质：
  

Convergence

• 本节证明了SND算法的收敛性

  • with probability one, the approximate cost-to-go functions constructed using valid, tight, and finite cuts define an optimal solution to MSIP with binary state variables in a finite number of iterations

• 一个technical假设（大多数确定性MIP求解器都满足，如CPLEX和Gurobi）
  

• 核心定理：
  

Cut families

Benders’ cut

不tight

Integer optimality cut

三个性质都满足，但只在指定的解上是紧的，在其他解上非常松$\Rightarrow$收敛很慢

Lagrangian cut

• obtained by solving Lagrangian dual of the reformulated nodal problems
  
  
• 证明Lagrangian cuts满足三条性质：valid, tight and finite