Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and~gradual uncertainty resolution

DOI10.1007/S10479-011-0855-XMaRDI QIDQ2393472zbMATH OpenOpenAlexFDO

Authors Bora Tarhan, Ignacio E. Grossmann, Vikas Goel

Publication date 8 August 2013

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-011-0855-x

zbMATH Keywords

global optimizationdecision making under uncertaintymultistage stochastic programmingdecision dependent uncertaintyouter-approximationgradual uncertainty resolutionnon-convex mixed integer nonlinear programoil or gas field explorationsynthesis of process networks

Mathematics Subject Classification ID

Decision theory (91B06) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 3115465 (Why is no real title available?)
• scientific article; zbMATH DE number 176014 (Why is no real title available?)
• A class of stochastic programs with decision dependent random elements
• A class of stochastic programs with decision dependent uncertainty
• An outer-approximation algorithm for a class of mixed-integer nonlinear programs
• Decomposition methods in stochastic programming
• Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
• Heuristics for multi-stage interdiction of stochastic networks
• Linear programming under uncertainty
• On-Line Optimization of Simulated Markovian Processes
• Stochastic programming with integer variables
• The sample average approximation method for stochastic discrete optimization

Cited in

(14)

• Distributionally robust optimization with decision dependent ambiguity sets
• Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
• A node formulation for multistage stochastic programs with endogenous uncertainty
• Multistage stochastic programming approach for joint optimization of job scheduling and material ordering under endogenous uncertainties
• Informed production optimization in hydrocarbon reservoirs
• Efficient constraint reduction in multistage stochastic programming problems with endogenous uncertainty
• Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
• Robust alternative fuel refueling station location problem with routing under decision-dependent flow uncertainty
• Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
• Offshore oilfield development planning under uncertainty and fiscal considerations
• A Lagrangian relaxation approach for stochastic network capacity expansion with budget constraints
• A graph theoretic approach to non-anticipativity constraint generation in multistage stochastic programs with incomplete scenario sets
• Optimization methods for petroleum fields development and production systems: a review
• From scenarios to conditional scenarios in two‐stage stochastic MILP problems

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Uses Software

• BARON

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