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Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

Andy Philpott (a.philpott***at***auckland.ac.nz)
Vitor de Matos (vitor***at***labplan.ufsc.br)

Abstract: We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of policies using this risk measure at different levels of risk aversion is compared with the risk-neutral policy.

Keywords: multi-stage sochastic programming, coherent risk measure, hydro-thermal scheduling

Category 1: Stochastic Programming

Category 2: Other Topics (Dynamic Programming )

Citation: Technical report, Electric Power Optimization Centre, University of Auckland, 2010. (www.epoc.og.nz).

Download: [PDF]

Entry Submitted: 12/18/2010
Entry Accepted: 12/19/2010
Entry Last Modified: 02/08/2011

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