Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
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Publication:2221473
DOI10.1007/s10287-019-00358-0OpenAlexW2990900083MaRDI QIDQ2221473
Georg Ch. Pflug, Wim van Ackooij, Martin Glanzer, Debora Daniela Escobar
Publication date: 2 February 2021
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-019-00358-0
dynamic programmingWasserstein distancemodel ambiguitymultistage stochastic optimizationnested distancedistributionally robust decision makingmultiscale stochastic optimization
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