Dual SDDP for risk-averse multistage stochastic programs
Published in Operation Research Letters, 2023
Recommended citation: https://leclere.github.io/files/papers/2023-RA-DSDDP.pdf
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well known tool to address such problems under time-independence assumptions. We show how to derive a dual formulation for these problems and apply an SDDP algorithm, leading to converging and deterministic upper bounds for risk averse problems.