On the convergence of stochastic dual dynamic programming and related methods

We discuss the almost-sure convergence of a broad class of sampling algorithms for multi-stage stochastic linear programs. We provide a convergence proof based on the finiteness of the set of distinct cut coefficients. This differs from existing published proofs in that it does not require a restrictive assumption.

• Type: Journal
• Year: 2008
• Where: ORL
• Authors: Andrew B. Philpott, Z. Guan
• Keywords: Almost-sure Convergence, Distinct Cut Coefficients, Multi-stage Stochastic Linear, ORL 2006, ORL 2008