multistage stochastic programs

Distributionally Risk-Receptive and Robust Multistage Stochastic Integer Programs and Interdiction Models

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

    In this paper, we study distributionally risk-receptive and distributionally robust (or risk-averse) multistage stochastic mixed-integer programs (denoted by DRR- and DRO-MSIPs). We present cutting plane-based and reformulation-based approaches for solving DRR- and DRO-MSIPs without and with decision-dependent uncertainty to optimality. We show that these approaches are finitely convergent with probability one. Furthermore, we introduce generalizations … Read more

    Guaranteed Bounds for General Non-discrete Multistage Risk-Averse Stochastic Optimization Programs

  • Francesca Maggioni
  • Georg Ch. Pflug
    • Categories Stochastic Programming Tags , , , , ,

    In general, multistage stochastic optimization problems are formulated on the basis of continuous distributions describing the uncertainty. Such ”infinite” problems are practically impossible to solve as they are formulated and finite tree approximations of the underlying stochastic processes are used as proxies. In this paper, we demonstrate how one can find guaranteed bounds, i.e. finite … Read more

    SDDP for multistage stochastic programs: Preprocessing via scenario reduction

  • Jitka Dupacova
  • Vaclav Kozmik
    • Categories Stochastic Programming Tags , , ,

    Even with recent enhancements, computation times for large-scale multistage problems with risk-averse objective functions can be very long. Therefore, preprocessing via scenario reduction could be considered as a way to significantly improve the overall performance. Stage-wise backward reduction of single scenarios applied to a fixed branching structure of the tree is a promising tool for … Read more