The value of rolling-horizon policies for risk-averse hydro-thermal planning.
Vincent GuiguesClaudia A. SagastizábalPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- risk averse
- rolling horizon
- risk neutral
- lot sizing
- stochastic programming
- utility function
- decision makers
- risk aversion
- single machine
- multistage
- production planning
- portfolio management
- markov decision problems
- expected utility
- partially observable markov decision processes
- decision theoretic
- short term
- optimal policy
- scheduling problem
- dynamic programming
- sufficient conditions