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
Online-Zugang:	Volltext
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