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Multistate risk averse stochastic problems

Grant number: 22/00443-9
Support Opportunities:Scholarships in Brazil - Post-Doctoral
Effective date (Start): April 01, 2022
Effective date (End): March 31, 2024
Field of knowledge:Physical Sciences and Mathematics - Mathematics - Applied Mathematics
Principal Investigator:Paulo José da Silva e Silva
Grantee:Williams Jesus Lopez Yanez
Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
Associated research grant:18/24293-0 - Computational methods in optimization, AP.TEM


The energy operation planning problem can be modeled as a very large multistage stochastic linear program. Dual dynamic stochastic programming is a standard technique for solving such problems. A characteristic of the uncertainties in the problem is their periodic behavior, typically, the inflows to the reservoirs follow the annual rainfall regime. The project proposes to analyze multistage stochastic optimization methods that explore periodic structures, based on recent works by A. Shapiro, in order to reduce the computational effort. The theoretical analysis will be validated by computer experiments, carried out in collaboration with CEPEL, in real cases of planning the operation of the Brazilian hydrothermal system.

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