AUTORES

ANDY BRYAN PHILPOTT

ABR/2012

REVISTA: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

EDIÇÃO: 218 / 2

PÁGINAS: 470-483

We consider the incorporation of a time-consistent coherent risk measure into a multi-stage stochastic programming model, so that the model can be solved using a SDDP-type algorithm. We describe the implementation of this algorithm, and study the solutions it gives for an application of hydro-thermal scheduling in the New Zealand electricity system. The performance of policies using this risk measure at different levels of risk aversion is compared with the risk-neutral policy.