-

 

 

 




Optimization Online





 

Worst-case-expectation approach to optimization under uncertainty

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

Abstract: In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation were the data process can be naturally separated into two components, one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst case) point of view. We formulate this in a time consistent way and derive the corresponding dynamic programming equations. In order to solve the obtained multistage problem we develop a variant of 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, robust optimization, robust distribution stochastic programming, time consistency, dynamic equations, Stochastic Dual Dynamic Programming, sample average approximation, risk neutral and risk averse approaches, case studies

Category 1: Stochastic Programming

Category 2: Robust Optimization

Category 3: Applications -- OR and Management Sciences

Citation:

Download: [PDF]

Entry Submitted: 10/30/2012
Entry Accepted: 10/31/2012
Entry Last Modified: 10/30/2012

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society