0495435 20240103220749.420181029235959.9 6 s. C cav_un_epca*04961422464-6970OstravaVŠB-Technical University of Ostrava2018 Multi-stage stochastic programming Emission management SDDP time dependence cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Šmíd Martin UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0363894 Ekonometrie Department of Econometrics E E 50 Kozmík Václav UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2018/E/smid-0495435.pdf GA16-01298S GA ČR CZ cav_un_auth*0341139 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. cav_un_auth*0366393 9th International Scientific Conference Managing and Modelling of Financial Risks 20180905 Ostrava CZ 20180906 BB 10000 10100 10103 2019 2 RVO:67985556 http://hdl.handle.net/11104/0288954 1 S 2018 SCOPUS PUBMED WOS cav_un_epca*0496142 MANAGING AND MODELLING OF FINANCIAL RISKS : proceedings of the 9th International Scienti c Conference Managing and Modelling of Financial Risks 2464-6970 2464-6989 Ostrava VŠB-Technical University of Ostrava 2018