Time-axis decomposition of large-scale optimal control problems
Journal of Optimization Theory and Applications
Multi-stage stochastic optimization applied to energy planning
Mathematical Programming: Series A and B
Stochastic decomposition: an algorithm for two-state linear programs with recourse
Mathematics of Operations Research
Parallel decomposition of multistage stochastic programming problems
Mathematical Programming: Series A and B
Simulation optimization: a survey of simulation optimization techniques and procedures
Proceedings of the 32nd conference on Winter simulation
Introduction to Reinforcement Learning
Introduction to Reinforcement Learning
Neuro-Dynamic Programming
Kernel-Based Reinforcement Learning
Machine Learning
An Adaptive Dynamic Programming Algorithm for the Heterogeneous Resource Allocation Problem
Transportation Science
Generating Scenario Trees for Multistage Decision Problems
Management Science
Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems
Mathematics of Operations Research
Dynamic-Programming Approximations for Stochastic Time-Staged Integer Multicommodity-Flow Problems
INFORMS Journal on Computing
Approximate Dynamic Programming: Solving the Curses of Dimensionality (Wiley Series in Probability and Statistics)
Optimizing profits from hydroelectricity production
Computers and Operations Research
An Optimal Approximate Dynamic Programming Algorithm for the Lagged Asset Acquisition Problem
Mathematics of Operations Research
Mathematical and Computer Modelling: An International Journal
A dynamic programming approximation for downlink channel allocation in cognitive femtocell networks
Computer Networks: The International Journal of Computer and Telecommunications Networking
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We address the problem of modeling energy resource allocation, including dispatch, storage, and the long-term investments in new technologies, capturing different sources of uncertainty such as energy from wind, demands, prices, and rainfall. We also wish to model long-term investment decisions in the presence of uncertainty. Accurately modeling the value of all investments, such as wind turbines and solar panels, requires handling fine-grained temporal variability and uncertainty in wind and solar in the presence of storage. We propose a modeling and algorithmic strategy based on the framework of approximate dynamic programming (ADP) that can model these problems at hourly time increments over an entire year or several decades. We demonstrate the methodology using both spatially aggregate and disaggregate representations of energy supply and demand. This paper describes the initial proof of concept experiments for an ADP-based model called SMART; we describe the modeling and algorithmic strategy and provide comparisons against a deterministic benchmark as well as initial experiments on stochastic data sets.