Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

DOI10.1016/j.orl.2012.09.001zbMath1258.90054OpenAlexW1997909702MaRDI QIDQ1939693

Yanyan Li

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.09.001

zbMATH Keywords

stochastic processesrisk-averse optimizationgeneralized autoregressive models

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (3)

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 ⋮ Divide to conquer: decomposition methods for energy optimization

Cites Work

• The value of rolling-horizon policies for risk-averse hydro-thermal planning
• On a time consistency concept in risk averse multistage stochastic programming
• On joint probabilistic constraints with Gaussian coefficient matrix
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