Solving Multistage Stochastic Linear Programming via Regularized Linear Decision Rules: An Application to Hydrothermal Dispatch Planning

Abstract

The solution of multistage stochastic linear problems (MSLP) represents a challenge for many applications. Long-term hydrothermal dispatch planning (LHDP) materializes this challenge in a real-world problem that affects electricity markets, economies, and natural resources worldwide. No closed-form solu-