SDDP for multistage stochastic linear programs based on spectral risk measures
نویسندگان
چکیده
منابع مشابه
SDDP for multistage stochastic linear programs based on spectral risk measures
We consider risk-averse formulations of multistage stochastic linear programs. For these formulations, based on convex combinations of spectral risk measures, risk-averse dynamic programming equations can be written. As a result, the Stochastic Dual Dynamic Programming (SDDP) algorithm can be used to obtain approximations of the corresponding risk-averse recourse functions. This allows us to de...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2012
ISSN: 0167-6377
DOI: 10.1016/j.orl.2012.04.006