A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties
نویسندگان
چکیده
منابع مشابه
A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties
In this paper, we present a new decomposition algorithm for solving large-scale multistage stochastic programs (MSSP) with endogenous uncertainties. Instead of dualizing all the initial non-anticipativity constraints (NACs) and removing all the conditional non-anticipativity constraints to decompose the problem into scenario subproblems, the basic idea relies on keeping a subset of NACs as expl...
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In this paper, we present a generic Multistage Stochastic Programming (MSSP) model considering endogenous uncertainty in some of the parameters. To address the issue that the number of non-anticipativity (NA) constraints increases exponentially with the number of uncertain parameters and/or its realizations, we present a new theoretical property that significantly reduces the problem size and c...
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A number of methods for solving multistage stochastic linear programs with recourse decompose the deterministic equivalent [4] to form subproblems based on scenarios (e.g., Rockafellar and Wets [6] and Mulvey and Ruszczyński [5]). Other methods use forms of Benders decomposition to form subproblems based on nodes of the scenario tree (e.g., Birge [1] and Gassmann [2]). Both types of algorithms ...
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ژورنال
عنوان ژورنال: Computers & Chemical Engineering
سال: 2014
ISSN: 0098-1354
DOI: 10.1016/j.compchemeng.2013.11.011