SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
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Publication:2436685
DOI10.1007/s10589-013-9584-1zbMath1312.90047OpenAlexW1996000473MaRDI QIDQ2436685
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
stochastic programmingdecomposition algorithmsMonte Carlo samplingrisk-averse optimizationinterstage dependency
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