Article ID: | iaor20126276 |
Volume: | 224 |
Issue: | 2 |
Start Page Number: | 375 |
End Page Number: | 391 |
Publication Date: | Jan 2013 |
Journal: | European Journal of Operational Research |
Authors: | Shapiro Alexander, Tekaya Wajdi, da Costa Joari Paulo, Soares Murilo Pereira |
Keywords: | programming: dynamic, risk, energy |
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.