Risk-averse feasible policies for large-scale multistage stochastic linear programs
From MaRDI portal
Publication:1949267
DOI10.1007/s10107-012-0592-1zbMath1266.90135OpenAlexW1988404040MaRDI QIDQ1949267
Publication date: 6 May 2013
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-012-0592-1
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning ⋮ Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization ⋮ Non-anticipative risk-averse analysis with effective scenarios applied to long-term hydrothermal scheduling ⋮ SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning ⋮ Robust management and pricing of liquefied natural gas contracts with cancelation options ⋮ Risk management for forestry planning under uncertainty in demand and prices ⋮ Divide to conquer: decomposition methods for energy optimization ⋮ Superquantiles at work: machine learning applications and efficient subgradient computation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Robust production management
- The value of rolling-horizon policies for risk-averse hydro-thermal planning
- Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
- Analysis of stochastic dual dynamic programming method
- Primal and dual linear decision rules in stochastic and robust optimization
- On a time consistency concept in risk averse multistage stochastic programming
- Integrated chance constraints: reduced forms and an algorithm
- Selected topics in robust convex optimization
- On the convergence of stochastic dual dynamic programming and related methods
- Duality in stochastic linear and dynamic programming
- Multi-stage stochastic optimization applied to energy planning
- Robust solutions of uncertain linear programs
- Adjustable robust solutions of uncertain linear programs
- Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse
- Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
- SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
- Coherent Measures of Risk
- Chance-Constrained Programming
- Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures
- Polyhedral risk measures in electricity portfolio optimization
- A multi-stage stochastic programming approach for production planning with uncertainty in the quality of raw materials and demand
- A Stochastic Programming Approach to Power Portfolio Optimization
- A Robust Optimization Approach to Inventory Theory
- Robust mid-term power generation management
- Lectures on Stochastic Programming
- Introduction to Stochastic Programming
- Optimization with Stochastic Dominance Constraints
- Conditional Risk Mappings
- Optimization Models for the Natural Gas Value Chain
- Chance Constraints and Normal Deviates
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
This page was built for publication: Risk-averse feasible policies for large-scale multistage stochastic linear programs