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A Nonconvex Regularization Scheme for the Stochastic Dual Dynamic Programming Algorithm

Author

Listed:
  • Arnab Bhattacharya

    (Pacific Northwest National Laboratory, Richland, Washington 99352)

  • Jeffrey P. Kharoufeh

    (Department of Industrial Engineering, Clemson University, Clemson, South Carolina 29634)

  • Bo Zeng

    (Department of Industrial Engineering, University of Pittsburgh, Pittsburgh, Pennsylvania 15261)

Abstract

We propose a new nonconvex regularization scheme to improve the performance of the stochastic dual dynamic programming (SDDP) algorithm for solving large-scale multistage stochastic programs. Specifically, we use a class of nonconvex regularization functions, namely folded concave penalty functions, to improve solution quality and the convergence rate of the SDDP procedure. We develop a strategy based on mixed-integer programming to guarantee global optimality of the nonconvex regularization problem. Moreover, we establish provable convergence guarantees for our customized SDDP algorithm. The benefits of our regularization scheme are demonstrated by solving large-scale instances of two multistage stochastic optimization problems.

Suggested Citation

  • Arnab Bhattacharya & Jeffrey P. Kharoufeh & Bo Zeng, 2023. "A Nonconvex Regularization Scheme for the Stochastic Dual Dynamic Programming Algorithm," INFORMS Journal on Computing, INFORMS, vol. 35(5), pages 1161-1178, September.
    • Handle: RePEc:inm:orijoc:v:35:y:2023:i:5:p:1161-1178
    DOI: 10.1287/ijoc.2021.0255
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    References listed on IDEAS

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