Trajectory Following Dynamic Programming.
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We present the Stochastic Dual Dynamic Programming algorithm and some of his brethren. slides
Tutorials
I gather here tutorials on various subject, given over the years, in there most up-to-date form.Stochastic Programming or Dynamic Programming.
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We present the basis of stochastic and dynamic programming and ends with example comparing both approaches and limits. slides
Introduction to (static) Robust Optimziation.
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In this tutorial we cover basic elements on Robust Optimization:
Introduction to Decomposition Methods in Stochastic Optimization.
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In this long tutorial we cover various decompositions techniques for stochastic optimization:
Introduction to Stochastic Programming.
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We present the basis of modeling under uncertainty, value and price of information, and sample average approximation. slides