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Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
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DOI：10.1016/j.ejor.2011.10.056.png)
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Abstract
En 中文
We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of policies using this risk measure at different levels of risk aversion is compared with the risk-neutral policy. (C) 2011 Elsevier B.V. All rights reserved.
Keywords:
Stochastic programming
SDDP
Coherent risk measure
Hydrothermal scheduling
Journal
IF:
6
Papers:
2.2W
Citations:
6.4W