Efficient constraint reduction in multistage stochastic programming problems with endogenous uncertainty

DOI10.1080/10556788.2015.1088850zbMath1382.90069OpenAlexW2179705271MaRDI QIDQ2815510

S. A. MirHassani, F. Hooshmand

Publication date: 29 June 2016

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2015.1088850

zbMATH Keywords

multistage stochastic programmingendogenous uncertaintyminimal graphredundant nonanticipativity constraintsexact polynomial time algorithm

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Stochastic programming (90C15)

Related Items (5)

A graph theoretic approach to non-anticipativity constraint generation in multistage stochastic programs with incomplete scenario sets ⋮ Endogenous stochastic optimisation for relief distribution assisted with unmanned aerial vehicles ⋮ Multistage robust mixed-integer optimization under endogenous uncertainty ⋮ Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty ⋮ A node formulation for multistage stochastic programs with endogenous uncertainty

Uses Software

• AIMMS

Cites Work

• Unnamed Item
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• Modeling methods and a branch and cut algorithm for pharmaceutical clinical trial planning using stochastic programming
• A class of stochastic programs with decision dependent random elements
• Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and~gradual uncertainty resolution
• Heuristics for multi-stage interdiction of stochastic networks
• A class of stochastic programs with decision dependent uncertainty
• Introduction to Stochastic Programming

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