multistage stochastic programming – Page 3

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Published: 2012/01/06

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

What Multistage Stochastic Programming Can Do for Network Revenue Management

Published: 2006/10/31

Airline Optimization, Stochastic Programming multistage stochastic programming, network revenue management, scenario generation

Airlines must dynamically choose how to allocate their flight capacity to incoming travel demand. Because some passengers take connecting flights, the decisions for all network flights must be made simultaneously. To simplify the decision making process, most practitioners assume demand is deterministic and equal to average demand. We propose a multistage stochastic programming approach that … Read more