Vaclav Kozmik

SDDP for multistage stochastic programs: Preprocessing via scenario reduction

  • Jitka Dupacova
  • Vaclav Kozmik
    • Categories Stochastic Programming Tags , , ,

    Even with recent enhancements, computation times for large-scale multistage problems with risk-averse objective functions can be very long. Therefore, preprocessing via scenario reduction could be considered as a way to significantly improve the overall performance. Stage-wise backward reduction of single scenarios applied to a fixed branching structure of the tree is a promising tool for … Read more

    Risk-Averse Stochastic Dual Dynamic Programming

  • Vaclav Kozmik
  • David P. Morton
    • Categories Stochastic Programming Tags , , ,

    We formulate a risk-averse multi-stage stochastic program using conditional value at risk as the risk measure. The underlying random process is assumed to be stage-wise independent, and a stochastic dual dynamic programming (SDDP) algorithm is applied. We discuss the poor performance of the standard upper bound estimator in the risk-averse setting and propose a new … Read more