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Solution of Emission Management Problem
Šmíd, Martin ; Kozmík, Václav
Optimal covering of emissions stemming from random production is a multistage stochastic programming problem. Solving it in a usual way - by means of deterministic equivalent - is possible only given an unrealistic approximation of random parameters. There exists an efficient way of solving multistage problems - stochastic dual dynamic programming (SDDP), however, it requires the inter-stage independence of random parameters, which is not the case which our problem. In the paper, we discuss a modified version of SDDP, allowing for some form of interstage dependence.

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