On the solution variability reduction of stochastic dual dynamic programming applied to energy planning

DOI10.1016/j.ejor.2016.08.068zbMath1394.90414OpenAlexW2512373458MaRDI QIDQ1751701

Alexandre Street, Murilo Pereira Soares, Davi Michel Valladão

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25355@1

zbMATH Keywords

stochastic programmingrisk aversionstochastic dual dynamic programmingOR in energy

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Case-oriented studies in operations research (90B90) Dynamic programming (90C39)

Related Items (5)

Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers ⋮ Stochastic Dual Dynamic Programming for Multiechelon Lot Sizing with Component Substitution ⋮ Climate-aware generation and transmission expansion planning: a three-stage robust optimization approach ⋮ A moment and sum-of-squares extension of dual dynamic programming with application to nonlinear energy storage problems ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

Uses Software

• SoPlex

Cites Work

• Unnamed Item
• Unnamed Item
• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Analysis of stochastic dual dynamic programming method
• On the convergence of stochastic dual dynamic programming and related methods
• Multi-stage stochastic optimization applied to energy planning
• Cut sharing for multistage stochastic linear programs with interstage dependency
• On the convergence of sampling-based decomposition algorithms for multistage stochastic programs
• Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
• Risk neutral and risk averse stochastic dual dynamic programming method
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs

This page was built for publication: On the solution variability reduction of stochastic dual dynamic programming applied to energy planning