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DTSTART;TZID=UTC:20130808T140000
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DTSTAMP:20260505T022143
CREATED:20170124T102141Z
LAST-MODIFIED:20170124T102141Z
UID:576-1375970400-1375970400@optimisation.doc.ic.ac.uk
SUMMARY:Seminar: Risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems
DESCRIPTION:Title: Risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problemsSpeaker: Dr. Wajdi TekayaAffiliation: Decision Trees GmbHLocation: Room 217 Huxley BuildingTime: 2:00pm \nAbstract. This talk gives an overview of risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems. In the first part of this talk\, we discuss risk neutral and risk averse approaches using coherent risk measures to multistage (linear) stochastic programming problems based on the Stochastic Dual Dynamic Programming (SDDP) method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system.In the second part of this talk\, 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. In order to solve the obtained multistage problem we develop a variant of the (SDDP) method. We give a general description of the algorithm and present computational studies related to planning of the Brazilian interconnected power system. \nAbout the speaker. Wajdi Tekaya is currently an HPCfinance postdoctoral fellow at Cambridge Systems Associates. He obtained his B.S. in industrial engineering from Tunisia Polytechnic School\, M.S. in Operations Research from Paris IX University\, Georgia Institute of Technology and Ph.D. in Operations Research from Georgia Institute of technology. His research interests are in computational approaches to stochastic programming with applications in energy and finance.
URL:http://optimisation.doc.ic.ac.uk/event/seminar-risk-neutral-and-risk-averse-approaches-to-multistage-stochastic-programming-with-applications-to-hydrothermal-operation-planning-problems/
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