scholarly journals Exact Converging Bounds for Stochastic Dual Dynamic Programming via Fenchel Duality

2020 ◽  
Vol 30 (2) ◽  
pp. 1223-1250 ◽  
Author(s):  
Vincent Leclère ◽  
Pierre Carpentier ◽  
Jean-Philippe Chancelier ◽  
Arnaud Lenoir ◽  
François Pacaud
Keyword(s):  
Dynamic Programming ◽  
Fenchel Duality ◽  
Stochastic Dual Dynamic Programming ◽  
Dual Dynamic Programming

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

2013 ◽  
Vol 224 (2) ◽  
pp. 375-391 ◽  
Author(s):  
Alexander Shapiro ◽  
Wajdi Tekaya ◽  
Joari Paulo da Costa ◽  
Murilo Pereira Soares
Keyword(s):  
Dynamic Programming ◽  
Programming Method ◽  
Dynamic Programming Method ◽  
Risk Averse ◽  
Stochastic Dual Dynamic Programming ◽  
Risk Neutral ◽  
Dual Dynamic Programming

scholarly journals A Stochastic Dual Dynamic Programming Framework for Multiscale MPC

2018 ◽  
Vol 51 (20) ◽  
pp. 493-498 ◽  
Author(s):  
Ranjeet Kumar ◽  
Michael J. Wenzel ◽  
Matthew J. Ellis ◽  
Mohammad N. ElBsat ◽  
Kirk H. Drees ◽  
...  
Keyword(s):  
Dynamic Programming ◽  
Stochastic Dual Dynamic Programming ◽  
Programming Framework ◽  
Dual Dynamic Programming

Representation of Wind Energy Scenarios in the Stochastic Dual Dynamic Programming for Hydrothermal Systems Operation

2020 ◽  
Author(s):  
Marcos T.B. de Oliveira ◽  
Alexandre S. Fernandes ◽  
Elisa Oliveira ◽  
André L. M. Marcato ◽  
Lucas R. Conceição
Keyword(s):  
Dynamic Programming ◽  
Wind Power ◽  
Wind Farm ◽  
Hydrothermal Systems ◽  
Wind Power Generation ◽  
Medium Term ◽  
Stochastic Dual Dynamic Programming ◽  
Convergence Process ◽  
The Impact ◽  
Dual Dynamic Programming

This article presents a methodology for including wind power generation in the medium-term planning ofhydrothermal systems, where Stochastic Dual Dynamic Programming (SDDP) is widely applied in the literature to solve this class of problem. To assess the impact of the intermittent generation, wind power scenarios were generated through Weibull Distribution, which were applied to reduce the load, generating several demand scenarios. Thus, the aim of this paper is to improve the computational eort of the conventional SDDP with demand scenarios, where the main contribution of the work consists of applying the Immediate Cost Function (ICF) to accelerate the SDDP convergence process. The proposed methodology was analyzed using part of the Brazilian system, considering a wind farm.

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