TITLE: Risk neutral and risk averse approaches to multistage stochastic programming

SPEAKER: Alex Shapiro

ABSTRACT:

In many practical situations one has to make  decisions sequentially  based on data available at  the  time of the decision and facing uncertainty of the future. This leads to optimization problems which can be formulated in a framework of multistage stochastic optimization. In this talk  we consider risk neutral and risk averse approaches to multistage stochastic programming. We discuss conceptual and computational issues involved in formulation and solving such problems. As an example we give numerical results based on  the Stochastic Dual Dynamic Programming method applied to planning of the Brazilian interconnected power system.