Joari Paulo da Costa – Optimization Online

Worst-case-expectation approach to optimization under uncertainty

Published: 2012/10/30

Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming case studies, dynamic equations, multistage stochastic programming, risk neutral and risk averse approaches, robust distribution stochastic programming, robust optimization, sample average approximation, stochastic dual dynamic programming, time consistency

In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation were the data process can be naturally separated into two components, one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst case) point … Read more

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Published: 2012/01/06

Joari Paulo da Costa

Alexander Shapiro

Murilo Pereira Soares

Wajdi Tekaya

Dynamic Programming, Scheduling, Stochastic Programming average value at risk, case studies, dynamic equations, multistage stochastic programming, risk averse, sample average approximation, stochastic dual dynamic programming

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. Citation ArticleDownload View PDF