Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming (Q291043): Difference between revisions

From MaRDI portal
RedirectionBot (talk | contribs)
Removed claim: reviewed by (P1447): Item:Q488633
RedirectionBot (talk | contribs)
Changed an Item
Property / reviewed by
 
Property / reviewed by: Ioan M. Stancu-Minasian / rank
 
Normal rank

Revision as of 07:10, 15 February 2024

scientific article
Language Label Description Also known as
English
Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
scientific article

    Statements

    Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    6 June 2016
    0 references
    Stochastic programing provides an approach to decision-making that takes account of the probability distributions of uncertain parameters. Typically the values of these parameters are revealed over time, or with stage in a multistage decision setting, and decisions made at each stage hedge against possible realizations of parameters revealed in future stages. Endogenous uncertainty is defined to occur when the underlying stochastic process depends on the optimization decisions. The majority of the papers assumes that the sources of uncertainty are exogenous to the decision-making process; relatively little attention has, to date, been paid to stochastic programming in the presence of \textit{endogenous uncertainty}. Endogenous uncertainty is defined to occur when the underlying stochastic process depends on the optimization decisions. This paper contributes to the general field of multistage stochastic programming with endogenous uncertainty by characterizing necessary and sufficient sets of non-anticipativity constraints, without any restriction on the scenario space. The authors prove that sufficient sets of non-anticipativity constraints have matroid structure, and hence prove that such sets having minimum cardinality can be identified efficiently, in the general case.
    0 references
    stochastic programming
    0 references
    endogeneous uncertainty
    0 references
    multistage stochastic programming
    0 references

    Identifiers