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ArticleDistributionally robust SDDP

Andy Philpott2018

Article2018

Distributionally robust SDDP

Andy Philpott · Vitor Luiz de Matos · Lea Kapelevich

42 citations·0/0 files stored·Computational Management Science

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Risk and Portfolio Optimization Electric Power System Optimization Integrated Energy Systems Optimization

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References

1999Coherent Measures of Risk 2010Theory and Applications of Robust Optimization 2015Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations 2009Lectures on Stochastic Programming: Modeling and Theory 2009Lectures on Stochastic Programming 2010Analysis of stochastic dual dynamic programming method 2011Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion 2015Data-Driven Stochastic Programming Using Phi-Divergences

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Year2018

Typearticle

Published2018-05-19

VenueComputational Management Science

ISSN-L1619-697X

Languageen

Citations42

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10287-018-0314-0

openalex_workW2803238461

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