Comparing stage-scenario with nodal formulation for multistage stochastic problems

DOI10.1007/S10288-020-00462-XzbMATH Open1522.90057OpenAlexW3095186726MaRDI QIDQ6057723FDOQ6057723

Authors: Sebastiano Vitali, Ruth Domínguez, V. Moriggia 

Publication date: 26 October 2023

Published in: 4OR (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10288-020-00462-x

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zbMATH Keywords

stochastic optimizationpower systemsmultistage planningGAMSnodal formulationpower generation capacity expansionstage scenario formulation

Mathematics Subject Classification ID

Linear programming (90C05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Physics, astronomy, technology, engineering (aspects of mathematics education) (97M50)

Cites Work

• Stochastic modeling in economics and finance.
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• Dynamic stochastic programming for asset-liability management
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• Decision making under uncertainty in electricity markets
• Multistage stochastic optimization
• New bounding and decomposition approaches for MILP investment problems: multi-area transmission and generation planning under policy constraints
• Cluster Lagrangean decomposition in multistage stochastic optimization
• On a Multi-stage Stochastic Programming Model for Inventory Planning
• Asset-liability management for Czech pension funds using stochastic programming
• Multi-stage stochastic electricity portfolio optimization in liberalized energy markets
• Title not available (Why is that?)
• Individual optimal pension allocation under stochastic dominance constraints
• Dynamic portfolio management for property and casualty insurance
• Testing the structure of multistage stochastic programs

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• A nested benders decomposition-based algorithm to solve the three-stage stochastic optimisation problem modeling population-based breast cancer screening
• 21 volumes for the 21st century

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