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  • title: Transformer-based Stagewise Decomposition for Large-Scale Multistage Stochastic Optimization
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            Transformer-based Stagewise Decomposition for Large-Scale Multistage Stochastic Optimization
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            Transformer-based Stagewise Decomposition for Large-Scale Multistage Stochastic Optimization

            Jul 24, 2023

            Speakers

            CK

            Chanyeong Kim

            Speaker · 0 followers

            JP

            Jongwoong Park

            Speaker · 0 followers

            HB

            Hyunglip Bae

            Speaker · 0 followers

            About

            A Transformer-based stagewise decomposition algorithm, TranSDDP, is proposed for addressing large-scale multistage stochastic programming (MSP) problems. Common stagewise decomposition algorithms employed in multistage stochastic programming, including stochastic dual dynamic programming (SDDP), approximate value functions as piecewise linear convex functions by gradually accumulating subgradient cutting planes from primal and dual solutions of stagewise subproblems. However, these methods suffe…

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            I2
            I2

            ICML 2023

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