risk analysis

A successive linear programming algorithm with non-linear time series for the reservoir management problem

  • Erick Delage
  • Charles Gauvin
  • Michel Gendreau
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks to find a release schedule that balances flood control and power generation objectives while considering realistic operating conditions as well as variable water head. To deal with the non-convexity introduced by the variable water … Read more

    A stochastic program with tractable time series and affine decision rules for the reservoir management problem

  • Erick Delage
  • Charles Gauvin
  • Michel Gendreau
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , ,

    This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing the risk of floods over a fixed time horizon for a multi-dimensional hydro-electrical complex. We consider well-studied linear time series model and enhance the approach to consider heteroscedasticity. Using these stochastic processes under very general distributional … Read more

    A robust optimization model for the risk averse reservoir management problem

  • Erick Delage
  • Charles Gauvin
  • Michel Gendreau
    • Categories Applications - Science and Engineering, Robust Optimization, Stochastic Programming Tags , , , ,

    This paper presents a new formulation for the risk averse stochastic reservoir management problem. Using recent advances in robust optimization and stochastic programming, we propose a dynamic, multi-objective model based on minimization of a multidimensional risk measure associated with floods and droughts for a hydro-electrical complex. We present our model and then identify approximate solutions … Read more

    A Multi-Product Risk-Averse Newsvendor with Exponential Utility Function

  • Sungyong Choi
  • Andrzej Ruszczyński
    • Categories Production and Logistics, Supply Chain Management Tags , ,

    We consider a multi-product newsvendor using an exponential utility function. We first establish a few basic properties for the newsvendor regarding the convexity of the model and monotonicity of the impact of risk aversion on the solution. When the product demands are independent and the ratio of the degree of risk aversion to the number … Read more