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Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Alexander Shapiro(ashapiro***at***isye.gatech.edu)
Wajdi Tekaya(wtekaya***at***gatech.edu)
Joari Paulo da Costa(joari***at***ons.org.br)
Murilo Pereira Soares(murilo***at***ons.org.br)

Abstract: 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.

Keywords: Multistage stochastic programming, dynamic equations, Stochastic Dual Dynamic Programming, sample average approximation, risk averse, average value-at-risk, case studies

Category 1: Stochastic Programming

Category 2: Applications -- OR and Management Sciences (Scheduling )

Category 3: Other Topics (Dynamic Programming )


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Entry Submitted: 01/06/2012
Entry Accepted: 01/06/2012
Entry Last Modified: 01/06/2012

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