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Risk neutral and risk averse Stochastic Dual Dynamic Programming method

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  • Shapiro, Alexander
  • Tekaya, Wajdi
  • da Costa, Joari Paulo
  • Soares, Murilo Pereira

Abstract

In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic programming problems based on the Stochastic Dual Dynamic Programming (SDDP) method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 224 (2013)
Issue (Month): 2 ()
Pages: 375-391

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Handle: RePEc:eee:ejores:v:224:y:2013:i:2:p:375-391

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Web page: http://www.elsevier.com/locate/eor

Related research

Keywords: Multistage stochastic programming; Dynamic equations; Stochastic Dual Dynamic Programming; Sample average approximation; Risk averse; Average Value-at-Risk;

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Cited by:
  1. Guo, Peijun & Li, Yonggang, 2014. "Approaches to multistage one-shot decision making," European Journal of Operational Research, Elsevier, vol. 236(2), pages 612-623.
  2. Vincent Guigues, 2014. "SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning," Computational Optimization and Applications, Springer, vol. 57(1), pages 167-203, January.
  3. Dias, Bruno Henriques & Tomim, Marcelo Aroca & Marcato, André Luís Marques & Ramos, Tales Pulinho & Brandi, Rafael Bruno S. & Junior, Ivo Chaves da Silva & Filho, João Alberto Passos, 2013. "Parallel computing applied to the stochastic dynamic programming for long term operation planning of hydrothermal power systems," European Journal of Operational Research, Elsevier, vol. 229(1), pages 212-222.
  4. Rudloff, Birgit & Street, Alexandre & Valladão, Davi M., 2014. "Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences," European Journal of Operational Research, Elsevier, vol. 234(3), pages 743-750.

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