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Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Author

Listed:
  • Shapiro, Alexander
  • Tekaya, Wajdi
  • da Costa, Joari Paulo
  • Soares, Murilo Pereira

Abstract

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.

Suggested Citation

  • Shapiro, Alexander & Tekaya, Wajdi & da Costa, Joari Paulo & Soares, Murilo Pereira, 2013. "Risk neutral and risk averse Stochastic Dual Dynamic Programming method," European Journal of Operational Research, Elsevier, vol. 224(2), pages 375-391.
    • Handle: RePEc:eee:ejores:v:224:y:2013:i:2:p:375-391
    DOI: 10.1016/j.ejor.2012.08.022
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    References listed on IDEAS

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    1. Shapiro, Alexander, 2011. "Analysis of stochastic dual dynamic programming method," European Journal of Operational Research, Elsevier, vol. 209(1), pages 63-72, February.
    2. L. A. Terry & M. V. F. Pereira & T. A. Araripe Neto & L. F. C. A. Silva & P. R. H. Sales, 1986. "Coordinating the Energy Generation of the Brazilian National Hydrothermal Electrical Generating System," Interfaces, INFORMS, vol. 16(1), pages 16-38, February.
    3. Gerd Infanger (ed.), 2011. "Stochastic Programming," International Series in Operations Research and Management Science, Springer, number 978-1-4419-1642-6.
    4. Philpott, A.B. & de Matos, V.L., 2012. "Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion," European Journal of Operational Research, Elsevier, vol. 218(2), pages 470-483.
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