Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Alexander Shapiro (), Wajdi Tekaya, Joari Paulo da Costa and Murilo Pereira Soares

European Journal of Operational Research, 2013, vol. 224, issue 2, 375-391

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 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (65)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221712006455
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:224:y:2013:i:2:p:375-391

DOI: 10.1016/j.ejor.2012.08.022

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 Catherine Liu ().