Risk neutral and risk averse stochastic dual dynamic programming method

DOI10.1016/J.EJOR.2012.08.022MaRDI QIDQ2253437zbMATH OpenOpenAlexFDO

Authors Wajdi Tekaya, Joari Paulo da Costa, Murilo Pereira Soares, Alexander Shapiro

Publication date 27 July 2014

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

Full work available at URL https://doi.org/10.1016/j.ejor.2012.08.022

zbMATH Keywords

average value-at-riskstochastic dual dynamic programmingdynamic equationsmultistage stochastic programmingsample average approximationrisk averse

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15)

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