Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
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References listed on IDEAS
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- de Queiroz, Anderson Rodrigo, 2016. "Stochastic hydro-thermal scheduling optimization: An overview," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 382-395.
- Soares, Murilo Pereira & Street, Alexandre & Valladão, Davi Michel, 2017. "On the solution variability reduction of Stochastic Dual Dynamic Programming applied to energy planning," European Journal of Operational Research, Elsevier, vol. 258(2), pages 743-760.
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More about this item
KeywordsStochastic programming; SDDP; Coherent risk measure; Hydrothermal scheduling;
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