Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
نویسندگان
چکیده
منابع مشابه
Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
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...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2012
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2011.10.056