Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
From MaRDI portal
Publication:1695769
DOI10.1007/s10479-016-2107-6zbMath1380.90209OpenAlexW2264068419MaRDI QIDQ1695769
Erlon C. Finardi, David P. Morton, Vitor L. de Matos
Publication date: 8 February 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-016-2107-6
Related Items (11)
A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning ⋮ Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers ⋮ A gradient-based algorithm for non-smooth constrained optimization problems governed by discrete-time nonlinear equations with application to long-term hydrothermal optimal scheduling control ⋮ Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ An improved averaged two-replication procedure with Latin hypercube sampling ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Compromise policy for multi-stage stochastic linear programming: variance and bias reduction ⋮ Variance reduction for sequential sampling in stochastic programming ⋮ Optimizing power generation in the presence of micro-grids ⋮ Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse ⋮ On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
Cites Work
- Generating Scenario Trees for Multistage Decision Problems
- Managing capacity flexibility in make-to-order production environments
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Improving the performance of stochastic dual dynamic programming
- Evaluating policies in risk-averse multi-stage stochastic programming
- Analysis of stochastic dual dynamic programming method
- On the convergence of stochastic dual dynamic programming and related methods
- Statistical verification of optimality conditions for stochastic programs with recourse
- Multi-stage stochastic optimization applied to energy planning
- A simulation-based approach to two-stage stochastic programming with recourse
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs
- Assessing solution quality in stochastic programs
- Stopping Rules for a Class of Sampling-Based Stochastic Programming Algorithms
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- A Sequential Sampling Procedure for Stochastic Programming
- On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling
