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SDDP for multistage stochastic linear programs based on spectral risk measures · Study

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ArticleSDDP for multistage stochastic linear programs based on spectral risk measures

Vincent Guigues2012

OA

Articlegreen2012

SDDP for multistage stochastic linear programs based on spectral risk measures

Vincent Guigues · Werner Römisch

26 citations·0/0 files stored·Operations Research Letters

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Risk and Portfolio Optimization Electric Power System Optimization Advanced Optimization Algorithms Research

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References

2002Spectral measures of risk: A coherent representation of subjective risk aversion 2000Scenarios for Multistage Stochastic Programs 2010Analysis of stochastic dual dynamic programming method 2007Modeling, Measuring and Managing Risk 2007Modeling, Measuring and Managing Risk 2007Scenario tree modeling for multistage stochastic programs 2008On the convergence of stochastic dual dynamic programming and related methods 2006Stability of Multistage Stochastic Programs

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2025Stochastic Dual Dynamic Programming and Its Variants: A Review

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Year2012

Typearticle

Published2012-05-16

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.orl.2012.04.006

openalex_workW2164257067

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