Risk neutral and risk averse Stochastic Dual Dynamic Programming method

  • Joari Paulo da Costa
  • Alexander Shapiro
  • Murilo Pereira Soares
  • Wajdi Tekaya
    • Categories Dynamic Programming, Scheduling, Stochastic Programming Tags , , , , , , Short URL: https://optimization-online.org/?p=11873

    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.

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