Search Results - subject:"Stochastic dual dynamic programming"

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

Valladão, Davi; Silva, Thuener; Poggi, Marcus - In: Application of operations research to financial markets, (pp. 379-405). 2019

Persistent link: https://www.econbiz.de/10012160031

Stochastic dynamic programming approach to managing power system uncertainty with distributed storage

Zéphyr, Luckny; Anderson, C. Lindsay - In: Computational Management Science : CMS 15 (2018) 1, pp. 87-110

Persistent link: https://www.econbiz.de/10011860872

Dynamic convexification within nested Benders decomposition using Lagrangian relaxation : an application to the strategic bidding problem

Steeger, Gregory; Rebennack, Steffen - In: European journal of operational research : EJOR 257 (2017) 2, pp. 669-686

Persistent link: https://www.econbiz.de/10011639954

On the solution variability reduction of stochastic dual dynamic programming applied to energy planning

Soares, Murilo Pereira; Street, Alexandre; Valladão, … - In: European journal of operational research : EJOR 258 (2017) 2, pp. 743-760

Persistent link: https://www.econbiz.de/10011644466

SDDP for mutlistage stochastic programs : preprocessing via scenario reduction

Dupačová, Jitka; Kozmík, Václav - In: Computational Management Science : CMS 14 (2017) 1, pp. 67-80

Persistent link: https://www.econbiz.de/10011710330

Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty

Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989

Persistent link: https://www.econbiz.de/10011445359

Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling

Lohmann, Timo; Hering, Amanda S.; Rebennack, Steffen - In: European journal of operational research : EJOR 255 (2016) 1, pp. 243-258

Persistent link: https://www.econbiz.de/10011530864

On variance reduction of mean-CVaR Monte Carlo estimators

Kozmík, Václav - In: Computational Management Science 12 (2015) 2, pp. 221-242

. Our results are applied in the framework of stochastic dual dynamic programming algorithm. Computational results which …

Persistent link: https://www.econbiz.de/10011241047

Stochastic model for energy commercialisation of small hydro plants in the Brazilian energy market

Matos, Vitor; Sierra, Mauro; Finardi, Erlon; Decker, Brigida - In: Computational Management Science 12 (2015) 1, pp. 111-127

with sampling strategies are necessary to identify a good solution. Therefore, we apply the Stochastic Dual Dynamic … Programming algorithm. A case example is presented to analyse certain results of the model, which considers a generator company …

Persistent link: https://www.econbiz.de/10011151410

On variance reduction of mean-CVaR Monte Carlo estimators

Kozmík, Václav - In: Computational Management Science : CMS 12 (2015) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10010513412