Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

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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: , , ,
Keywords: programming: dynamic, risk, energy
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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