School of Mathematics Colloquium
Thursday, February 23, 2012 - 11:05am
1 hour (actually 50 minutes)
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 programming. 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.