stochastic dual dynamic programming

On solving multistage stochastic programs with coherent risk measures

  • Vitor de Matos
  • Erlon Finardi
  • Andrew B. Philpott
    • Categories Stochastic Programming Tags

    We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we … 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