Worst-Case-Expectation Approach to Optimization Under Uncertainty
成果类型：
Article
署名作者：
Shapiro, Alexander; Tekaya, Wajdi; Soares, Murilo Pereira; da Costa, Joari Paulo
署名单位：
University System of Georgia; Georgia Institute of Technology
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.2013.1229
发表日期：
2013
页码：
1435-1449
关键词：
摘要：
In this paper we discuss multistage programming with the data process subject to uncertainty. We consider a situation where the data process can be naturally separated into two components: one can be modeled as a random process, with a specified probability distribution, and the other one can be treated from a robust (worst-case) point of view. We formulate this in a time consistent way and derive the corresponding dynamic programming equations. To solve the obtained multistage problem, we develop a variant of the stochastic dual dynamic programming 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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