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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Vydáno v:European journal of operational research Ročník 224; číslo 2; s. 375 - 391
Hlavní autoři: Shapiro, Alexander, Tekaya, Wajdi, da Costa, Joari Paulo, Soares, Murilo Pereira
Médium: Journal Article
Jazyk:angličtina
Vydáno: Amsterdam Elsevier B.V 16.01.2013
Elsevier
Elsevier Sequoia S.A
Témata:
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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Shrnutí:► 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.
Bibliografie:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0377-2217
1872-6860
DOI:10.1016/j.ejor.2012.08.022