A graph theoretic approach to non-anticipativity constraint generation in multistage stochastic programs with incomplete scenario sets

DOI10.1016/j.cor.2022.105886OpenAlexW2964366209MaRDI QIDQ2676284

Brianna Christian, Selen Cremaschi, Zuo Zeng, Alexander Vinel, Yasuhiro Shoji

Publication date: 27 September 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.01792

zbMATH Keywords

stochastic programmingendogenous uncertaintymultistage stochastic modelsnon-anticipativity constraints

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization

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