Risk neutral reformulation approach to risk averse stochastic programming
نویسندگان
چکیده
منابع مشابه
Risk neutral and risk averse Stochastic Dual Dynamic Programming method
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.
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2020
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2020.01.060