SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

DOI10.1007/s10589-013-9584-1zbMath1312.90047OpenAlexW1996000473MaRDI QIDQ2436685

Vincent Guigues

Publication date: 25 February 2014

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-013-9584-1

zbMATH Keywords

stochastic programmingdecomposition algorithmsMonte Carlo samplingrisk-averse optimizationinterstage dependency

Mathematics Subject Classification ID

Stochastic programming (90C15)

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