原创力文档dual dynamic programing with cut selection convergence proof and numerical experiments：（双重动态编程与减少选择收敛性证明和数值实验）.pdfVIP
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dual dynamic programing with cut selection convergence proof and numerical experiments：（双重动态编程与减少选择收敛性证明和数值实验）
European Journal of Operational Research 258 (2017) 47–57
Contents lists available at ScienceDirect
European Journal of Operational Research
journal homepage: /locate/ejor
Continuous Optimization
Dual Dynamic Programing with cut selection: Convergence proof and
numerical experiments
Vincent Guigues∗
Fundação Getulio Vargas, School of Applied Mathematics, 190 Praia de Botafogo, Rio de Janeiro 22250-900, Brazil
a r t i c l e i n f o a b s t r a c t
Article history: We consider convex optimization problems formulated using dynamic programing equations. Such prob-
Received 25 February 2015 lems can be solved using the Dual Dynamic Programing algorithm combined with the Level 1 cut selec-
Accepted 25 October 2016 tion strategy or the Territory algorithm to select the most relevant Benders cuts. We propose a limited
Available online 3 November 2016
memory variant of Level 1 and show the convergence of DDP combined with the Territory algorithm,
Keywords: Level 1 or its variant for nonlinear optimization problems. In the special case of linear programs, we
Dynamic Programing show convergence in a finite number of iterations. Numerical simulations illustrate the interest of our
Nonlinear programing variant and show that it can be much quicker than a simplex algorithm on some large instances of port-
Dec
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