Risk neutral and risk averse Stochastic Dual Dynamic Programming method
نویسندگان
چکیده
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. 2012 Elsevier B.V. All rights reserved.
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ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 224 شماره
صفحات -
تاریخ انتشار 2013