Distributionally robust SDDP

DOI10.1007/s10287-018-0314-0zbMath1483.90098OpenAlexW2803238461MaRDI QIDQ1989729

L. Kapelevich, Andy B. Philpott, Vitor L. de Matos

Publication date: 29 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0314-0

zbMATH Keywords

SDDPdistributionally robusthydroelectric reservoir optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Case-oriented studies in operations research (90B90) Dynamic programming (90C39)

Related Items (13)

Projections onto the canonical simplex with additional linear inequalities ⋮ Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty ⋮ Parallel and distributed computing for stochastic dual dynamic programming ⋮ Frameworks and results in distributionally robust optimization ⋮ Partially observable multistage stochastic programming ⋮ Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance ⋮ A multistage distributionally robust optimization approach to water allocation under climate uncertainty ⋮ Bounds for Multistage Mixed-Integer Distributionally Robust Optimization ⋮ Distributionally Robust Stochastic Dual Dynamic Programming ⋮ A data-driven approach for a class of stochastic dynamic optimization problems ⋮ Distributionally robust optimization. A review on theory and applications ⋮ SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming ⋮ Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets

Uses Software

• Gurobi
• Julia
• JuMP

Cites Work

• Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion
• Improving the performance of stochastic dual dynamic programming
• Evaluating policies in risk-averse multi-stage stochastic programming
• Analysis of stochastic dual dynamic programming method
• Multi-stage stochastic optimization applied to energy planning
• Cut sharing for multistage stochastic linear programs with interstage dependency
• Coherent Measures of Risk
• Julia: A Fresh Approach to Numerical Computing
• Theory and Applications of Robust Optimization
• Lectures on Stochastic Programming
• On Solving Multistage Stochastic Programs with Coherent Risk Measures
• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
• JuMP: A Modeling Language for Mathematical Optimization

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