Risk neutral and risk averse Stochastic Dual Dynamic Programming method

@article{Shapiro2013RiskNA,
  title={Risk neutral and risk averse Stochastic Dual Dynamic Programming method},
  author={Alexander Shapiro and Wajdi Tekaya and Joari Paulo da Costa and Murilo Pereira Soares},
  journal={European Journal of Operational Research},
  year={2013},
  volume={224},
  pages={375-391}
}
In this paper we discuss risk neutral and risk averse approaches 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. 2012 Elsevier B.V. All rights reserved. 
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