A stochastic dual dynamic programming method for two-stage distributionally robust optimization problems
Sign Up to like & getrecommendations! Published in 2020 at "Optimization Methods and Software"
DOI: 10.1080/10556788.2020.1811705
Abstract: This paper studies a class of two-stage distributionally robust optimization (TDRO) problems which comes from many practical application fields. In order to set up some implementable solution method, we first transfer the TDRO problem to… read more here.
Keywords: stage distributionally; two stage; distributionally robust; robust optimization ... See more keywords
Multi-Stage Distributionally Robust Stochastic Dual Dynamic Programming to Multi-Period Economic Dispatch with Virtual Energy Storage
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Sustainable Energy"
DOI: 10.1109/tste.2021.3105525
Abstract: A virtual energy storage (VES) model is proposed in this paper to accommodate renewable energy under a special market regula-tion. Such VESs can provide or consume electricity to the main power grid under the premise… read more here.
Keywords: multi stage; stage distributionally; energy; distributionally robust ... See more keywords
Supermodularity in Two-Stage Distributionally Robust Optimization
Sign Up to like & getrecommendations! Published in 2023 at "Management Science"
DOI: 10.1287/mnsc.2023.4748
Abstract: In this paper, we solve a class of two-stage distributionally robust optimization problems that have the property of supermodularity. We exploit the explicit worst case expectation of supermodular functions and derive the worst case distribution… read more here.
Keywords: problem; supermodularity; two stage; stage ... See more keywords