Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Alexander Shapiro (),
Joari Paulo da Costa and
Murilo Pereira Soares
European Journal of Operational Research, 2013, vol. 224, issue 2, 375-391
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 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:224:y:2013:i:2:p:375-391
Access Statistics for this article
European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati
More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().