A graph theoretic approach to non-anticipativity constraint generation in multistage stochastic programs with incomplete scenario sets

DOI10.1016/J.COR.2022.105886MaRDI QIDQ2676284zbMATH OpenOpenAlexFDO

Authors Zuo Zeng, Alexander Vinel, Brianna Christian, Yasuhiro Shoji, Selen Cremaschi

Publication date 27 September 2022

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.01792

zbMATH Keywords

endogenous uncertaintymultistage stochastic modelsnon-anticipativity constraintsstochastic programming

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• A class of stochastic programs with decision dependent random elements
• A class of stochastic programs with decision dependent uncertainty
• Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization
• Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and~gradual uncertainty resolution
• Efficient constraint reduction in multistage stochastic programming problems with endogenous uncertainty
• Introduction to stochastic programming.
• Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
• Modeling methods and a branch and cut algorithm for pharmaceutical clinical trial planning using stochastic programming
• Optimization of R\&D project portfolios under endogenous uncertainty
• Selection of an optimal subset of sizes
• Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management

Cited in

(5)

• Efficient constraint reduction in multistage stochastic programming problems with endogenous uncertainty
• Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming
• Non-parametric approximation of non-anticipativity constraints in scenario-based multistage stochastic programming
• A Graph Theoretic Approach to Non-Anticipativity Constraint Generation in Multistage Stochastic Programs with Incomplete Scenario Sets
• Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty

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