Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion

被引：135

作者：

Philpott, A. B. ^{[1
]}

de Matos, V. L. ^{[2
]}

机构：

[1] Univ Auckland, Elect Power Optimizat Ctr, Auckland 1, New Zealand

[2] Univ Fed Santa Catarina, Lab Planejamento Sistemas Energia Eletr, BR-88040900 Florianopolis, SC, Brazil

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2012年 / 218卷 / 02期

关键词：

Stochastic programming; SDDP; Coherent risk measure; Hydrothermal scheduling; LINEAR-PROGRAMS; SYSTEM; OPERATION;

D O I：

10.1016/j.ejor.2011.10.056

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：470 / 483

页数：14

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