SDDP for multistage stochastic programs: preprocessing via scenario reduction

Even with recent enhancements, computation times for large-scale multistage problems with risk-averse objective functions can be very long. Therefore, preprocessing via scenario reduction could be considered as a way to significantly improve the overall performance. Stage-wise backward reduction of single scenarios applied to a fixed branching structure of the tree is a promising tool for efficient algorithms like stochastic dual dynamic programming. We provide computational results which show an acceptable precision of the results for the reduced problem and a substantial decrease of the total computation time.