A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty

DOI10.1007/S10287-021-00390-ZarXiv2102.07131MaRDI QIDQ6360556

Publication date: 14 February 2021

Abstract: This paper introduces a node formulation for multistage stochastic programs with endogenous (i.e., decision-dependent) uncertainty. Problems with such structure arise when the choices of the decision maker determine a change in the likelihood of future random events. The node formulation avoids an explicit statement of non-anticipativity constraints, and as such keeps the dimension of the model sizeable. An exact solution algorithm for a special case is introduced and tested on a case study. Results show that the algorithm outperforms a commercial solver as the size of the instances increases.

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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