Davi Valladão

A Novel Solution Methodology for Wasserstein-based Data-Driven Distributionally Robust Problems

  • Carlos Gamboa
  • Tito Homem-de-Mello
  • Alexandre Street
  • Davi Valladão
    • Categories Stochastic Programming Tags , ,

    Distributionally robust optimization (DRO) is a mathematical framework to incorporate ambiguity over the actual data-generating probability distribution. Data-driven DRO problems based on the Wasserstein distance are of particular interest for their sound mathematical properties. For right-hand-sided uncertainty, however, existing methods rely on dual vertex enumeration rendering the problem intractable in practical applications. In this context, … Read more

    A Data-Driven Approach for a Class of Stochastic Dynamic Optimization Problems

  • Tito Homem-de-Mello
  • Thuener Silva
  • Davi Valladão
    • Categories Stochastic Programming Tags , , ,

    Dynamic stochastic optimization models provide a powerful tool to represent sequential decision-making processes. Typically, these models use statistical predictive methods to capture the structure of the underlying stochastic process without taking into consideration estimation errors and model misspecification. In this context, we propose a data-driven prescriptive analytics framework aiming to integrate the machine learning and … Read more

    A conservative convergent solution for continuously distributed two-stage stochastic optimization problems

  • Carlos Gamboa
  • Alexandre Street
  • Davi Valladão
    • Categories Stochastic Programming Tags , ,

    Two-stage stochastic programming is a mathematical framework widely used in real- life applications such as power system operation planning, supply chains, logistics, inventory management, and financial planning. Since most of these problems cannot be solved analytically, decision makers make use of numerical methods to obtain a near-optimal solution. Some applica- tions rely on the implementation … Read more

    Assessing the Cost of the Hazard-Decision Simplification in Multistage Stochastic Hydrothermal Scheduling

  • Andre Lawson
  • Alexandre Street
  • Davi Valladão
  • Alexandre Velloso
    • Categories Control Applications, Dynamic Programming, Stochastic Programming Tags , , ,

    Hydropower is one of the world’s primary renewable energy sources whose usage has profound economic, environmental, and social impacts. We focus on the dispatch of generating units and the storage policy of hydro resources. In this context, an accurate assessment of the water opportunity-cost is cru- cial for driving the sustainable use of this scarce … Read more

    High-dimensional risk-constrained dynamic asset allocation via Markov stochastic dual dynamic programming

  • Marcus Poggi de Aragão
  • Thuener Silva
  • Davi Valladão
    • Categories Finance and Economics, Stochastic Programming Tags , , ,

    Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets, specific choices of utility functions and oversimplified price dynamics. Other more realistic strategies use heuristic solution approaches to obtain suitable … Read more

    Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

  • Birgit Rudloff
  • Alexandre Street
  • Davi Valladão
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more

    Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences

  • Birgit Rudloff
  • Alexandre Street
  • Davi Valladão
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more intuitive formulation, even though it may lead to a time inconsistent policy. Based on rigorous … Read more