A dynamic (multi-stage) stochastic programming model for the weekly cost-optimal generation of electric power in a hydro-thermal generation system under uncertain demand (or load) is developed. The… (More)

Portfolio and risk management problems of power utilities may be modeled by multistage stochastic programs. These models use a set of scenarios and corresponding probabilities to model the… (More)

An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper,… (More)

We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The importance of… (More)

We consider stochastic programs with risk measures in the objective and study stability properties as well as decomposition structures. Thereby we place emphasis on dynamic models, i.e., multistage… (More)

An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper,… (More)

A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The… (More)

This paper investigates the stability of optimal solution sets to stochastic programs with complete recourse, where the underlying probability measure is understood as a parameter varying in some… (More)