Risk neutral and risk averse Stochastic Dual Dynamic Programming method

► Generic description of the Stochastic Dual Dynamic Programming (SDDP) method is given. ► Case studies related to operation planning of the Brazilian interconnected power system are presented. ► Risk averse approaches to multistage stochastic programming adjusted to the SDDP method are developed. ►...

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Veröffentlicht in:	European journal of operational research Jg. 224; H. 2; S. 375 - 391
Hauptverfasser:	Shapiro, Alexander, Tekaya, Wajdi, da Costa, Joari Paulo, Soares, Murilo Pereira
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 16.01.2013 Elsevier Elsevier Sequoia S.A
Schlagworte:	Applied sciences Average Value-at-Risk Dynamic equations Dynamic programming Electricity distribution Exact sciences and technology Mathematical programming Multistage stochastic programming Operational research and scientific management Operational research. Management science Portfolio theory Risk averse Risk aversion Risk theory. Actuarial science Sample average approximation Stochastic Dual Dynamic Programming Stochastic models Studies Brazil Average Value-at-Risk Dynamic equations Multistage stochastic programming Risk averse Stochastic Dual Dynamic Programming Sample average approximation Warranty Interconnected power system Financial management Linear programming Risk analysis Modeling Stochastic programming Risk aversion Planning Risk management Portfolio management Quantile
ISSN:	0377-2217, 1872-6860
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Abstract	► Generic description of the Stochastic Dual Dynamic Programming (SDDP) method is given. ► Case studies related to operation planning of the Brazilian interconnected power system are presented. ► Risk averse approaches to multistage stochastic programming adjusted to the SDDP method are developed. ► General methodology is tested in extensive numerical experiments. ► Risk neutral and risk averse SDDP method could be a reasonable approach if the number of state variables is small. 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.
AbstractList	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. [PUBLICATION ABSTRACT] ► Generic description of the Stochastic Dual Dynamic Programming (SDDP) method is given. ► Case studies related to operation planning of the Brazilian interconnected power system are presented. ► Risk averse approaches to multistage stochastic programming adjusted to the SDDP method are developed. ► General methodology is tested in extensive numerical experiments. ► Risk neutral and risk averse SDDP method could be a reasonable approach if the number of state variables is small. 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.
Author	Shapiro, Alexander Tekaya, Wajdi da Costa, Joari Paulo Soares, Murilo Pereira
Author_xml	– sequence: 1 givenname: Alexander surname: Shapiro fullname: Shapiro, Alexander email: ashapiro@isye.gatech.edu organization: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, USA – sequence: 2 givenname: Wajdi surname: Tekaya fullname: Tekaya, Wajdi organization: School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA 30332-0205, USA – sequence: 3 givenname: Joari Paulo surname: da Costa fullname: da Costa, Joari Paulo organization: ONS – Operador Nacional do Sistema Elétrico, Rua da Quitanda, 196, Centro Rio de Janeiro, RJ 20091-005, Brazil – sequence: 4 givenname: Murilo Pereira surname: Soares fullname: Soares, Murilo Pereira organization: ONS – Operador Nacional do Sistema Elétrico, Rua da Quitanda, 196, Centro Rio de Janeiro, RJ 20091-005, Brazil
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Keywords	Average Value-at-Risk Dynamic equations Multistage stochastic programming Risk averse Stochastic Dual Dynamic Programming Sample average approximation Warranty Interconnected power system Financial management Linear programming Risk analysis Modeling Stochastic programming Risk aversion Planning Risk management Portfolio management Quantile
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Snippet	► Generic description of the Stochastic Dual Dynamic Programming (SDDP) method is given. ► Case studies related to operation planning of the Brazilian... In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic programming problems based on the Stochastic Dual Dynamic...
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SubjectTerms	Applied sciences Average Value-at-Risk Dynamic equations Dynamic programming Electricity distribution Exact sciences and technology Mathematical programming Multistage stochastic programming Operational research and scientific management Operational research. Management science Portfolio theory Risk averse Risk aversion Risk theory. Actuarial science Sample average approximation Stochastic Dual Dynamic Programming Stochastic models Studies
Title	Risk neutral and risk averse Stochastic Dual Dynamic Programming method
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