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Multi-horizon stochastic programming
Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 179-193
Persistent link: https://www.econbiz.de/10010251203
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Risk aversion in multistage stochastic programming : a modeling and algorithmic perspective
Homem-de-Mello, Tito; Pagnoncelli, Bernardo K. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 188-199
Persistent link: https://www.econbiz.de/10011435793
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Partially observable multistage stochastic programming
Dowson, Oscar; Morton, David P.; Pagnoncelli, Bernardo K. - In: Operations research letters 48 (2020) 4, pp. 505-512
Persistent link: https://www.econbiz.de/10012294817
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Stochastic dual dynamic programming with stagewise-dependent objective uncertainty
Downward, Anthony; Dowson, Oscar; Baucke, Regan - In: Operations research letters 48 (2020) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10012169591
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Adaptive discretization of convex multistage stochastic programs
Vigerske, Stefan; Nowak, Ivo - In: Computational Statistics 65 (2007) 2, pp. 361-383
We propose a new scenario tree reduction algorithm for multistage stochastic programs, which integrates the reduction …
Persistent link: https://www.econbiz.de/10010847704
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Adaptive discretization of convex multistage stochastic programs
Vigerske, Stefan; Nowak, Ivo - In: Mathematical Methods of Operations Research 65 (2007) 2, pp. 361-383
We propose a new scenario tree reduction algorithm for multistage stochastic programs, which integrates the reduction …
Persistent link: https://www.econbiz.de/10010950121
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Scenario tree reduction for multistage stochastic programs
Heitsch, Holger; Römisch, Werner - In: Computational Management Science 6 (2009) 2, pp. 117-133
Persistent link: https://www.econbiz.de/10005147284
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Multi-horizon stochastic programming
Kaut, Michal; Midthun, Kjetil; Werner, Adrian; … - In: Computational Management Science 11 (2014) 1, pp. 179-193
Infrastructure-planning models are challenging because of their combination of different time scales: while planning … combination of uncertainties on two different time scales creates problems for the traditional multistage stochastic … formulation and present two real-life applications from energy planning. Copyright Springer-Verlag Berlin Heidelberg 2014 …
Persistent link: https://www.econbiz.de/10010846147
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Water Resources Management and Planning under Uncertainty: an Inexact Multistage Joint-Probabilistic Programming Method
Li, Y.; Huang, G.; Nie, S. - In: Water Resources Management 23 (2009) 12, pp. 2515-2538
In this study, an inexact multistage joint-probabilistic programming (IMJP) method is developed for tackling … uncertainties presented as interval values and joint probabilities. IMJP improves upon the existing multistage programming and … violated within a multistage context. The developed method is applied to a case study of water-resources management within a …
Persistent link: https://www.econbiz.de/10010794079
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Planning for environmental water allocations: an example of hydrology-based assessment in the east Rapti River, Nepal
Smakhtin, Vladimir; Shilpakar, R. L. - International Water Management Institute (IWMI) - 2005
Persistent link: https://www.econbiz.de/10011274290