Solving multistage stochastic linear programming via regularized linear decision rules: An application to hydrothermal dispatch planning

•Two-stage linear decision rules are powerful tools for solving multistage stochastic problems.•Linear decision rules are subject to overfit and high out-of-sample cost.•We propose a new AdaLASSO-based regularized two-stage linear decision rule.•Regularized two-stage linear decision rules with AdaLA...

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Bibliographic Details

Published in:	European journal of operational research Vol. 309; no. 1; pp. 345 - 358
Main Authors:	Nazare, Felipe, Street, Alexandre
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 16.08.2023
Subjects:	AdaLASSO Long-term hydrothermal dispatch planning Multistage stochastic programming OR in energy Regularized linear decision rules AdaLASSO Multistage stochastic programming OR in energy Long-term hydrothermal dispatch planning Regularized linear decision rules
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
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