Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

DOI10.1016/j.ejor.2011.10.056zbMath1244.90175OpenAlexW2039857457MaRDI QIDQ439530

Andy B. Philpott, Vitor L. de Matos

Publication date: 16 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.10.056

zbMATH Keywords

stochastic programmingcoherent risk measurehydrothermal schedulingSDDP

Mathematics Subject Classification ID

Related Items (74)

A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning ⋮ Spectral risk measure of holding stocks in the long run ⋮ Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming ⋮ Modeling time-dependent randomness in stochastic dual dynamic programming ⋮ Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming ⋮ Medium range optimization of copper extraction planning under uncertainty in future copper prices ⋮ Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers ⋮ Scenario Generation Methods that Replicate Crossing Times in Spatially Distributed Stochastic Systems ⋮ Stochastic inflow modeling for hydropower scheduling problems ⋮ A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem ⋮ On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ Spatio-temporal hydro forecasting of multireservoir inflows for hydro-thermal scheduling ⋮ Comparison of imputation methods for discriminant analysis with strategically hidden data ⋮ Models for Optimization of Power Systems ⋮ Quantification of risk in classical models of finance ⋮ Parallel and distributed computing for stochastic dual dynamic programming ⋮ An effective heuristic for multistage linear programming with a stochastic right-hand side ⋮ Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization ⋮ A quantitative comparison of risk measures ⋮ Combining Polyhedral Approaches and Stochastic Dual Dynamic Integer Programming for Solving the Uncapacitated Lot-Sizing Problem Under Uncertainty ⋮ Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts ⋮ Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation ⋮ Stochastic dual dynamic integer programming ⋮ Risk neutral reformulation approach to risk averse stochastic programming ⋮ Large-scale financial planning via a partially observable stochastic dual dynamic programming framework ⋮ Martingale characterizations of risk-averse stochastic optimization problems ⋮ Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products ⋮ The policy graph decomposition of multistage stochastic programming problems ⋮ A composite risk measure framework for decision making under uncertainty ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Sample average approximation for risk-averse problems: a virtual power plant scheduling application ⋮ Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling ⋮ Increasing reliability of price signals in long term energy management problems ⋮ Dual dynamic programming with cut selection: convergence proof and numerical experiments ⋮ Risk-averse feasible policies for large-scale multistage stochastic linear programs ⋮ SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning ⋮ Benchmarking a Scalable Approximate Dynamic Programming Algorithm for Stochastic Control of Grid-Level Energy Storage ⋮ A unified framework for stochastic optimization ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs ⋮ Shape constraints in economics and operations research ⋮ Improving the performance of stochastic dual dynamic programming ⋮ Time-consistent, risk-averse dynamic pricing ⋮ Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming ⋮ Distributionally robust SDDP ⋮ On the solution variability reduction of stochastic dual dynamic programming applied to energy planning ⋮ Robust two-stage stochastic linear optimization with risk aversion ⋮ A multi-stage stochastic optimization model of a pastoral dairy farm ⋮ Divide to conquer: decomposition methods for energy optimization ⋮ Multi-stage stochastic programming models for provisioning cloud computing resources ⋮ Stochastic dynamic cutting plane for multistage stochastic convex programs ⋮ Stochastic dynamic programming approach to managing power system uncertainty with distributed storage ⋮ A new convergent hybrid learning algorithm for two-stage stochastic programs ⋮ A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania ⋮ Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns ⋮ Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences ⋮ Stochastic dual dynamic programming with stagewise-dependent objective uncertainty ⋮ Inexact Cuts in Stochastic Dual Dynamic Programming ⋮ Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments ⋮ Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures ⋮ A data-driven approach for a class of stochastic dynamic optimization problems ⋮ Decomposition Algorithms for Risk-Averse Multistage Stochastic Programs with Application to Water Allocation under Uncertainty ⋮ Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs ⋮ On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems ⋮ A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems ⋮ Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection ⋮ Multistage adaptive robust optimization for the hydrothermal scheduling problem ⋮ Parallel computing applied to the stochastic dynamic programming for long term operation planning of hydrothermal power systems ⋮ Process-based risk measures and risk-averse control of discrete-time systems ⋮ Two-stage linear decision rules for multi-stage stochastic programming ⋮ Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming

Uses Software

• SUTIL

Cites Work

• The value of rolling-horizon policies for risk-averse hydro-thermal planning
• Risk-averse dynamic programming for Markov decision processes
• 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
• SOCRATES: A system for scheduling hydroelectric generation under uncertainty
• The empirical behavior of sampling methods for stochastic programming
• On complexity of multistage stochastic programs
• Coherent Measures of Risk
• Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• USE OF THE PAR(p) MODEL IN THE STOCHASTIC DUAL DYNAMIC PROGRAMMING OPTIMIZATION SCHEME USED IN THE OPERATION PLANNING OF THE BRAZILIAN HYDROPOWER SYSTEM
• Unnamed Item

This page was built for publication: Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion