Risk neutral and risk averse Stochastic Dual Dynamic Programming method

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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Year of publication:	2013
Authors:	Shapiro, Alexander ; Tekaya, Wajdi ; Costa, Joari Paulo da ; Soares, Murilo Pereira
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 224.2013, 2, p. 375-391
Publisher:	Elsevier
Subject:	Multistage stochastic programming \| Dynamic equations \| Stochastic Dual Dynamic Programming \| Sample average approximation \| Risk averse \| Average Value-at-Risk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010588361