Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Author:

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

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference16 articles.

1. Composite representation of a multireservoir hydroelectric power system;Arvaniditis;IEEE Transactions on Power Apparatus and Systems,1970

2. Polyhedral risk measures in stochastic programming;Eichhorn;SIAM Journal on Optimization,2005

3. Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures;Guigues;SIAM Journal on Optimization,2012

4. Ministry of Mines and Energy MME, Electricity in the Brazilian Energy Plan – PDE 2020, July 2011, Secretariat of Energy Planning and Development.

5. Convex approximations of chance constrained programs;Nemirovski;SIAM Journal on Optimization,2006

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