Modeling time-dependent randomness in stochastic dual dynamic programming
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DOI: 10.1016/j.ejor.2018.08.001
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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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- Joakim Dimoski & Stein-Erik Fleten & Nils Löhndorf & Sveinung Nersten, 2023. "Dynamic hedging for the real option management of hydropower production with exchange rate risks," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(2), pages 525-554, June.
- Street, Alexandre & Valladão, Davi & Lawson, André & Velloso, Alexandre, 2020. "Assessing the cost of the Hazard-Decision simplification in multistage stochastic hydrothermal scheduling," Applied Energy, Elsevier, vol. 280(C).
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- Pagnoncelli, Bernardo K. & Homem-de-Mello, Tito & Lagos, Guido & Castañeda, Pablo & García, Javier, 2024. "Solving constrained consumption–investment problems by decomposition algorithms," European Journal of Operational Research, Elsevier, vol. 319(1), pages 292-302.
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- Pierre Carpentier & Jean-Philippe Chancelier & Michel Lara & François Pacaud, 2020. "Mixed Spatial and Temporal Decompositions for Large-Scale Multistage Stochastic Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 186(3), pages 985-1005, September.
- 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.
- D. Ávila & A. Papavasiliou & N. Löhndorf, 2022. "Parallel and distributed computing for stochastic dual dynamic programming," Computational Management Science, Springer, vol. 19(2), pages 199-226, June.
- Park, Jangho & Bayraksan, Güzin, 2023. "A multistage distributionally robust optimization approach to water allocation under climate uncertainty," European Journal of Operational Research, Elsevier, vol. 306(2), pages 849-871.
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Keywords
Stochastic programming; Dynamic programming; Markov decision process; Coherent risk measures;All these keywords.
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