References of "Löhndorf, Nils 50031365"
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See detailGas Storage Valuation in Incomplete Markets
Löhndorf, Nils UL; Wozabal, David

in European Journal of Operational Research (2021), 288(1), 318-330

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See detailBatch Learning in Stochastic Dual Dynamic Programming
Avila, Daniel; Papavasiliou, Anthona; Löhndorf, Nils UL

E-print/Working paper (2021)

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See detailThe Value of Coordination in Multimarket Bidding of Grid Energy Storage
Löhndorf, Nils UL; Wozabal, David

in Operations Research (2021)

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See detailParallel and distributed computing for stochastic dual dynamic programming
Avila, Daniel; Papavasiliou, Anthona; Löhndorf, Nils UL

in Computational Management Science (2021)

We study different parallelization schemes for the stochastic dual dynamic programming (SDDP) algorithm. We propose a taxonomy for these parallel algorithms, which is based on the concept of parallelizing ... [more ▼]

We study different parallelization schemes for the stochastic dual dynamic programming (SDDP) algorithm. We propose a taxonomy for these parallel algorithms, which is based on the concept of parallelizing by scenario and parallelizing by node of the underlying stochastic process. We develop a synchronous and asynchronous version for each configuration. The parallelization strategy in the parallelscenario configuration aims at parallelizing the Monte Carlo sampling procedure in the forward pass of the SDDP algorithm, and thus generates a large number of supporting hyperplanes in parallel. On the other hand, the parallel-node strategy aims at building a single hyperplane of the dynamic programming value function in parallel. The considered algorithms are implemented using Julia and JuMP on a high performance computing cluster. We study the effectiveness of the methods in terms of achieving tight optimality gaps, as well as the scalability properties of the algorithms with respect to an increasing number of CPUs. In particular, we study the effects of the different parallelization strategies on performance when increasing the number of Monte Carlo samples in the forward pass, and demonstrate through numerical experiments that such an increase may be harmful. Our results indicate that a parallel-node strategy presents certain benefits as compared to a parallel-scenario configuration. [less ▲]

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See detailModeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils UL; Shapiro, Alexander

in European Journal of Operational Research (2019), 273(2), 650--661

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See detailHydropower reservoir management using multi-factor price model and correlation between price and local inflow
Dimoski, Joakim; Nersten, Sveinung; Fleten, Stein-Erik et al

in Hydropower reservoir management using multi-factor price model and correlation between price and local inflow (2018)

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See detailAn empirical analysis of scenario generation methods for stochastic optimization
Löhndorf, Nils UL

in European Journal of Operational Research (2016), 255(1), 121--132

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See detailSimulation optimization for the stochastic economic lot scheduling problem with sequence-dependent setup times
Löhndorf, Nils UL; Riel, Manuel; Minner, Stefan

in International Journal of Production Economics (2014), 157

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See detailSimulation optimization for the stochastic economic lot scheduling problem
Löhndorf, Nils UL; Minner, Stefan

in IIE Transactions (2013), 45(7), 796--810

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See detailOptimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming
Löhndorf, Nils UL; Wozabal, David; Minner, Stefan

in Operations Research (2013)

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See detailA hybrid general lot-sizing and scheduling formulation for a production process with a two-stage product structure
Transchel, Sandra; Minner, Stefan; Kallrath, Josef et al

in International Journal of Production Research (2011), 49(9), 2463--2480

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See detailMachine and labor flexibility in manufacturing networks
Francas, David; Löhndorf, Nils UL; Minner, Stefan

in International Journal of Production Economics (2011), 131(1), 165--174

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See detailOptimal day-ahead trading and storage of renewable energies—an approximate dynamic programming approach
Löhndorf, Nils UL; Minner, Stefan

in Energy Systems (2010), 1(1), 61--77

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