On the solution variability reduction of Stochastic Dual Dynamic Programming applied to energy planning
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DOI: 10.1016/j.ejor.2016.08.068
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- 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.
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Cited by:
- Liu, J. & Nie, S. & Shan, B.G. & Li, Y.P. & Huang, G.H. & Liu, Z.P., 2019. "Development of an interval-credibility-chance constrained energy-water nexus system planning model—a case study of Xiamen, China," Energy, Elsevier, vol. 181(C), pages 677-693.
- Lorenzo Reus & Guillermo Alexander Sepúlveda-Hurtado, 2023. "Foreign exchange trading and management with the stochastic dual dynamic programming method," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
- Hohmann, Marc & Warrington, Joseph & Lygeros, John, 2020. "A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems," European Journal of Operational Research, Elsevier, vol. 283(1), pages 16-32.
- Davi Valladão & Thuener Silva & Marcus Poggi, 2019. "Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns," Annals of Operations Research, Springer, vol. 282(1), pages 379-405, November.
- Moreira, Alexandre & Pozo, David & Street, Alexandre & Sauma, Enzo & Strbac, Goran, 2021. "Climate‐aware generation and transmission expansion planning: A three‐stage robust optimization approach," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1099-1118.
- Lorenzo Reus & Rodolfo Prado, 2022. "Need to Meet Investment Goals? Track Synthetic Indexes with the SDDP Method," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 47-69, June.
- Mateus Waga & Davi Valladão & Alexandre Street & Thuener Silva, 2022. "Disentangling Shareholder Risk Aversion from Leverage-Dependent Borrowing Cost on Corporate Policies," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 1-24, October.
- Chen, X.P. & Hewitt, N. & Li, Z.T. & Wu, Q.M. & Yuan, Xufeng & Roskilly, Tony, 2017. "Dynamic programming for optimal operation of a biofuel micro CHP-HES system," Applied Energy, Elsevier, vol. 208(C), pages 132-141.
- Jing Liu & Yongping Li & Guohe Huang & Cai Suo & Shuo Yin, 2017. "An Interval Fuzzy-Stochastic Chance-Constrained Programming Based Energy-Water Nexus Model for Planning Electric Power Systems," Energies, MDPI, vol. 10(11), pages 1-23, November.
- Paula Medina Maçaira & Yasmin Monteiro Cyrillo & Fernando Luiz Cyrino Oliveira & Reinaldo Castro Souza, 2019. "Including Wind Power Generation in Brazil’s Long-Term Optimization Model for Energy Planning," Energies, MDPI, vol. 12(5), pages 1-20, March.
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Keywords
Stochastic programming; Stochastic Dual Dynamic Programming; Risk aversion; OR in energy;All these keywords.
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