Institute of Information Theory and Automation

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Publication details

Solution of Emission Management Problem

Conference Paper (international conference)

Šmíd Martin, Kozmík Václav

serial: MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks

action: 9th International Scientific Conference Managing and Modelling of Financial Risks, (Ostrava, CZ, 20180905)

project(s): GA16-01298S, GA ČR

keywords: Multi-stage stochastic programming, Emission management, SDDP, time dependence

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abstract (eng):

Optimal covering of emissions stemming from random production is a multistage stochastic programming problem. Solving it in a usual way - by means of deterministic equivalent - is possible only given an unrealistic approximation of random parameters. There exists an efficient way of solving multistage problems - stochastic dual dynamic programming (SDDP), however, it requires the inter-stage independence of random parameters, which is not the case which our problem. In the paper, we discuss a modified version of SDDP, allowing for some form of interstage dependence.


2012-12-21 16:10