Wajdi Tekaya

Regularized Stochastic Dual Dynamic Programming for convex nonlinear optimization problems

  • Vincent Guigues
  • Miguel A. Lejeune
  • Wajdi Tekaya
    • Categories Dynamic Programming, Finance and Economics, Stochastic Programming Tags , , , ,

    We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic programming equations. The corresponding algorithm, called SDDP-REG, can be seen as an extension of a regularization of the Stochastic Dual Dynamic Programming (SDDP) … Read more

    Worst-case-expectation approach to optimization under uncertainty

  • Joari Paulo da Costa
  • Alexander Shapiro
  • Murilo Pereira Soares
  • Wajdi Tekaya
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , , , , ,

    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

  • Joari Paulo da Costa
  • Alexander Shapiro
  • Murilo Pereira Soares
  • Wajdi Tekaya
    • Categories Dynamic Programming, Scheduling, Stochastic Programming Tags , , , , , ,

    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