Adriana Kiszka

Stochastic Dual Dynamic Programming for Optimal Power Flow Problems under Uncertainty

  • Adriana Kiszka
  • David Wozabal
    • Categories Energy, Semi-definite Programming, Stochastic Programming Tags , , ,

    We propose the first computationally tractable framework to solve multi-stage stochastic optimal power flow (OPF) problems in alternating current (AC) power systems. To this end, we use recent results on dual convex semi-definite programming (SDP) relaxations of OPF problems in order to adapt the stochastic dual dynamic programming (SDDP) algorithm for problems with a Markovian … Read more

    A Stability Result for Linear Markov Decision Processes

  • Adriana Kiszka
  • David Wozabal
    • Categories Stochastic Programming Tags , ,

    In this paper, we propose a semi-metric for Markov processes that allows to bound optimal values of linear Markov Decision Processes (MDPs). Similar to existing notions of distance for general stochastic processes our distance is based on transportation metrics. Apart from the specialization to MDPs, our contribution is to make the distance problem specific, i.e., … Read more