SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
نویسندگان
چکیده
منابع مشابه
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality constraints) the right-hand side is an affine function (resp. a given function bt) of the process value for the current time step t. As for m-th component of the process a...
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A Two-level Sddp Solving Strategy with Risk-averse Multivariate Reservoir Storage Levels for Long Term Power Generation Planning
Power generation planning in large-scale hydrothermal systems is a complex optimization task, specially due to the high uncertainty in the inflows to hydro plants. Since it is impossible to traverse the huge scenario tree of the multi-stage problem, stochastic dual dynamic programming (SDDP) is the leading optimization technique to solve it, originally from an expected-cost minimization perspec...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2013
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-013-9584-1