2 papers
math.OC2023
A Multicut Approach to Compute Upper Bounds for Risk-Averse SDDP
Joaquim Dias Garcia, Iago Leal, Raphael Chabar +1
Stochastic Dual Dynamic Programming (SDDP) is a widely used and fundamental algorithm for solving multistage stochastic optimization problems. Although SDDP has been frequently app…
math.OC2019
Modelling power markets with multi-stage stochastic Nash equilibria
Joaquim Dias Garcia, Raphael Chabar
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable…