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

A.B. Philpott and V.L. de Matos

European Journal of Operational Research, 2012, vol. 218, issue 2, 470-483

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: Stochastic programming; SDDP; Coherent risk measure; Hydrothermal scheduling (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (65)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:218:y:2012:i:2:p:470-483

DOI: 10.1016/j.ejor.2011.10.056

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