Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
AbstractWe consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of policies using this risk measure at different levels of risk aversion is compared with the risk-neutral policy.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 218 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/eor
Stochastic programming; SDDP; Coherent risk measure; Hydrothermal scheduling;
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