Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
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- 作者：Sergio Bruno ; a ; svbbruno@gmail.com" class="auth_mail" title="E-mail the corresponding author ; sbruno@petrobras.com.br" class="auth_mail" title="E-mail the corresponding author ; Shabbir Ahmedb ; Alexander Shapiro1 ; b ; Alexandre Street2 ; c
- 关键词：Stochastic programming ; Renewable energy investment planning ; Stochastic Dual Dynamic Programming ; Integer programming ; Risk averse
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 May 2016
- 年：2016
- 卷：250
- 期：3
- 页码：979-989
- 全文大小：694 K
文摘
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We study renewable energy investment planning under uncertainty.
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We model the problem as a risk-averse multistage stochastic integer program.
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We develop a solution approach based on Stochastic Dual Dynamic Programming.
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Solutions obtained using the proposed approach are pareto efficient.