The Experts below are selected from a list of 6447 Experts worldwide ranked by ideXlab platform
Alexander Shapiro - One of the best experts on this subject based on the ideXlab platform.
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risk neutral and risk averse stochastic dual Dynamic Programming Method
European Journal of Operational Research, 2013Co-Authors: Alexander Shapiro, Wajdi Tekaya, Joari Paulo Da Costa, Murilo Pereira SoaresAbstract:In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic Programming problems based on the Stochastic Dual Dynamic Programming (SDDP) Method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.
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analysis of stochastic dual Dynamic Programming Method
European Journal of Operational Research, 2011Co-Authors: Alexander ShapiroAbstract:In this paper we discuss statistical properties and convergence of the Stochastic Dual Dynamic Programming (SDDP) Method applied to multistage linear stochastic Programming problems. We assume that the underline data process is stagewise independent and consider the framework where at first a random sample from the original (true) distribution is generated and consequently the SDDP algorithm is applied to the constructed Sample Average Approximation (SAA) problem. Then we proceed to analysis of the SDDP solutions of the SAA problem and their relations to solutions of the "true" problem. Finally we discuss an extension of the SDDP Method to a risk averse formulation of multistage stochastic programs. We argue that the computational complexity of the corresponding SDDP algorithm is almost the same as in the risk neutral case.
Murilo Pereira Soares - One of the best experts on this subject based on the ideXlab platform.
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risk neutral and risk averse stochastic dual Dynamic Programming Method
European Journal of Operational Research, 2013Co-Authors: Alexander Shapiro, Wajdi Tekaya, Joari Paulo Da Costa, Murilo Pereira SoaresAbstract:In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic Programming problems based on the Stochastic Dual Dynamic Programming (SDDP) Method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.
Yanming Shen - One of the best experts on this subject based on the ideXlab platform.
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ScalCom-EmbeddedCom - Multi-dimension Multi-stage Fuzzy Optimum Dynamic Programming Method with Complicated Information
2009 International Conference on Scalable Computing and Communications; Eighth International Conference on Embedded Computing, 2009Co-Authors: Yanming ShenAbstract:Very often, huge uncertain information exists in multi-dimension multi-stage fuzzy optimum Dynamic Programming. Failure to take into consideration of this uncertain information will often lead to inaccurate results. The paper proposes a multi-dimension multi-stage fuzzy optimum Dynamic Programming Method under circumstances of uncertain information.
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Multi-dimension Multi-stage Fuzzy Optimum Dynamic Programming Method with Complicated Information
2009 International Conference on Scalable Computing and Communications; Eighth International Conference on Embedded Computing, 2009Co-Authors: Yanming ShenAbstract:Very often, huge uncertain information exists in multi-dimension multi-stage fuzzy optimum Dynamic Programming. Failure to take into consideration of this uncertain information will often lead to inaccurate results. The paper proposes a multi-dimension multi-stage fuzzy optimum Dynamic Programming Method under circumstances of uncertain information.
Wajdi Tekaya - One of the best experts on this subject based on the ideXlab platform.
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risk neutral and risk averse stochastic dual Dynamic Programming Method
European Journal of Operational Research, 2013Co-Authors: Alexander Shapiro, Wajdi Tekaya, Joari Paulo Da Costa, Murilo Pereira SoaresAbstract:In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic Programming problems based on the Stochastic Dual Dynamic Programming (SDDP) Method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.
Joari Paulo Da Costa - One of the best experts on this subject based on the ideXlab platform.
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risk neutral and risk averse stochastic dual Dynamic Programming Method
European Journal of Operational Research, 2013Co-Authors: Alexander Shapiro, Wajdi Tekaya, Joari Paulo Da Costa, Murilo Pereira SoaresAbstract:In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic Programming problems based on the Stochastic Dual Dynamic Programming (SDDP) Method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.
