Risk neutral and risk averse approaches to multistage stochastic programming

03/10/2016 - 15:45
03/10/2016 - 17:00
Speaker: 
Alexander Shapiro, (Georgia Tech)
Location: 
UdeM, Pavillon André-Aisenstadt, 2920 chemin de la Tour, salle 5340
Abstract: 

In many practical situations one has to make decisions sequentially based on data available at the time of the decision and facing uncertainty of the future. This leads to optimization problems which can be formulated in a framework of multistage stochastic optimization. In this talk we consider risk neutral and risk averse approaches to multistage stochastic programming. We discuss conceptual and computational issues involved in formulation and solving such problems. As an example we give numerical results based on the Stochastic Dual Dynamic Programming method applied to planning of the Brazilian interconnected power system.

Last edited by on Thu, 03/03/2016 - 15:35