Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty.
Sergio BrunoShabbir AhmedAlexander ShapiroAlexandre StreetPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- risk averse
- stochastic programming
- multistage
- risk neutral
- risk aversion
- planning under uncertainty
- portfolio management
- linear program
- production system
- utility function
- dynamic programming
- decision makers
- decision theoretic
- risk sensitive
- markov decision processes
- decision making
- expected utility
- lot sizing
- robust optimization
- long run
- machine learning