Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty (Q684146)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty |
scientific article |
Statements
Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty (English)
0 references
9 February 2018
0 references
\textit{F. Hooshmand} and \textit{S. A. MirHassani} [Optim. Methods Softw. 31, No. 2, 359--376 (2016; Zbl 1382.90069)] proposed a polynomial time algorithm which is able to identify all redundant nonanticipativity constraints (NACs) in a stochastic programming (SP) problem with only endogeneous uncertainty. In this paper, they extend this algorithm and present a new method which is able to make the upper most possible reduction in the number of NACs in any SP with both exogenous and endogenous uncertain parameters. The performance of the proposed approach is evaluated on ten randomly generated instances of simple SP problems.
0 references
multistage stochastic programming
0 references
endogenous uncertainties
0 references
exogenous uncertainties
0 references
redundant nonanticipativity constraints
0 references
constraint reduction
0 references
0 references