SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

Resumo

We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality constraints) the right-hand side is an affine function (resp. a given function b (t) ) of the process value for the current time step t. As for m-th component of the process at time step t, it depends on previous values of the process through a function h (tm) . For this type of problem, to obtain an approximate policy under some assumptions for functions b (t) and h (tm) , we detail a stochastic dual dynamic programming algorithm. Our analysis includes some enhancements of this algorithm such as the definition of a state vector of minimal size, the computation of feasibility cuts without the assumption of relatively complete recourse, as well as efficient formulas for sharing optimality and feasibility cuts between nodes of the same stage. The algorithm is given for both a non-risk-averse and a risk-averse model. We finally provide preliminary results comparing the performances of the recourse functions corresponding to these two models for a real-life application.

Ficha do documento

Tipo

Artigo científico

Ano

2014

Instituição

Springer

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1007/s10589-013-9584-1

Identificador

oai:repositorio.fgv.br:10438/23361

Temas

Administração Pública

Palavras-chave

Stochastic programmingRisk-averse optimizationDecomposition algorithmsInterstage dependencyMonte Carlo samplingStochastic linear-programsAdministração públicaMonte Carlo, Método deProcesso estocástico