نتایج جستجو برای: sddp

تعداد نتایج: 48  

در دهه‌های گذشته، روش‌های متعددی جهت حل مسأله بهینه‌سازی غیرقطعی بهره‌برداری از مخزن پیشنهاد شده‌ است که یکی از آنها روش برنامه‌ریزی پویای دوگان غیرقطعی (SDDP) است. بررسی پیشینه تحقیقات نشان می‌دهد که در اغلب تحقیقات پیشین، عدم قطعیت جریان ورودی به مخازن در روش SDDP براساس یک مدل‏ آماری خودهمبسته (AR(1 یا خودهمبسته فصلی (PAR(2 مدلسازی شده است. رویکرد دیگر برای مدلسازی عدم قطعیت در SDDP که کمتر ...

Journal: :European Journal of Operational Research 2013
Alexander Shapiro Wajdi Tekaya Joari Paulo da Costa Murilo Pereira Soares

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.

Journal: :European Journal of Operational Research 2012
Andrew B. Philpott Vitor L. de Matos

We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of policies using this risk m...

Journal: :Journal of Optimization Theory and Applications 2021

We introduce Stochastic Dynamic Cutting Plane (StoDCuP), an extension of the Dual Programming (SDDP) algorithm to solve multistage stochastic convex optimization problems. At each iteration, builds lower bounding affine functions not only for cost-to-go functions, as SDDP does, but also some or all nonlinear cost and constraint functions. show almost sure convergence StoDCuP. inexact variant St...

Journal: :Informs Journal on Computing 2022

This work investigates lot sizing with component substitution under demand uncertainty. The integration of in an uncertain context is important because the consolidation for components naturally allows risk-pooling and reduces operating costs. considered problem relevant not only a production context, but also distribution planning. We propose stochastic programming formulation static–dynamic t...

Journal: :Energy Systems 2023

Abstract Hydropower producers need to plan several months or years ahead estimate the opportunity value of water stored in their reservoirs. The resulting large-scale optimization problem is computationally intensive, and model simplifications are often needed allow for efficient solving. Alternatively, one can look near-optimal policies using heuristics that tackle non-convexities production f...

Journal: :IEEE Transactions on Sustainable Energy 2023

The balance between detailed technical description, representation of uncertainty and computational complexity is central in long-term scheduling models applied to hydro-dominated power system. aggregation complex hydropower systems into equivalent energy representations (EER) a commonly used technique reduce dimensionality computation time models. This work presents method for coordinating the...

2012
Kengy Barty

In this paper we are interested in the convergence analysis of the Stochastic Dual Dynamic Algorithm (SDDP) algorithm in a general framework, and regardless of whether the underlying probability space is discrete or not. We consider a convex stochastic control program not necessarily linear and the resulting dynamic programming equation. We prove under mild assumptions that the approximations o...

Journal: :Operations Research 2013
Alexander Shapiro Wajdi Tekaya Murilo Pereira Soares Joari Paulo da Costa

In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation were the data process can be naturally separated into two components, one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst case) point of view. We formulate this in a time consistent way and deri...

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