Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
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چکیده
منابع مشابه
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulæ linking future values of the process with past values and noises. We then consider multistage stochastic linear programs with uncertain sets depending affinely on such processes. At each stage, dealing with uncertainty us...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2012
ISSN: 0167-6377
DOI: 10.1016/j.orl.2012.09.001