multistage stochastic integer programs

Distributionally Ambiguous Multistage Stochastic Integer and Disjunctive Programs: Applications to Sequential Two-player Interdiction Games

  • Sumin Kang
  • Manish Bansal
    • Categories (Mixed) Integer Nonlinear Programming, Robust Optimization, Stochastic Programming Tags , , , ,

    This paper studies the generalizations of multistage stochastic mixed-integer programs (MSIPs) with distributional ambiguity, namely distributionally risk-receptive and risk-averse multistage stochastic mixed-integer programs (denoted by DRR- and DRA-MSIPs). These modeling frameworks have applications in non-cooperative Stackelberg games involving two players, namely a leader and a follower, with uncertainty in the impact of the decisions made … Read more