### Risk neutral and risk averse approaches to multistage stochastic programming

- Series
- School of Mathematics Colloquium
- Time
- Thursday, February 23, 2012 - 11:05 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Alexander Shapiro – ISyE, Georgia Tech

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.