The policy graph decomposition of multistage stochastic programming problems
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DOI: 10.1002/net.21932
Abstract: Funding information We propose the policy graph as a structured way of formulating a general class of multistage stochastic programming problems in away that leads to a natural decomposition. We also propose an extension to… read more here.
Keywords: programming; stochastic programming; programming problems; multistage stochastic ... See more keywords
On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
Sign Up to like & getrecommendations! Published in 2019 at "Computational Optimization and Applications"
DOI: 10.1007/s10589-019-00104-x
Abstract: We consider well-known decomposition techniques for multistage stochastic programming and a new scheme based on normal solutions for stabilizing iterates during the solution process. The given algorithms combine ideas from finite perturbation of convex programs… read more here.
Keywords: decomposition methods; decomposition; multistage stochastic; stochastic programming ... See more keywords
Approximation of multistage stochastic programming problems by smoothed quantization
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DOI: 10.1007/s11846-024-00733-5
Abstract: We present an approximation technique for solving multistage stochastic programming problems with an underlying Markov stochastic process. This process is approximated by a discrete skeleton process, which is consequently smoothed down by means of the… read more here.
Keywords: stochastic programming; approximation; programming problems; multistage stochastic ... See more keywords
A Generalized Knapsack-Problem Based Decomposition Heuristic for Solving Multistage Stochastic Programs with Endogenous and/or Exogenous Uncertainties
Sign Up to like & getrecommendations! Published in 2018 at "Industrial & Engineering Chemistry Research"
DOI: 10.1021/acs.iecr.8b00822
Abstract: Optimization problems with decision-dependent (endogenous) and/or decision-independent (exogenous) uncertainties are commonly observed in the process industry, and multistage stochastic programming (MSSP) is one approach for modeling such problems. However, MSSPs grow quickly and become computationally… read more here.
Keywords: knapsack problem; exogenous uncertainties; endogenous exogenous; generalized knapsack ... See more keywords
The Inexact Parallel Splitting Augmented Lagrangian Algorithm for Multistage Stochastic Variational Inequalities
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DOI: 10.1080/01630563.2025.2497774
Abstract: Abstract The multistage stochastic variational inequality is reformulated into a variational inequality with separable structure through introducing a new variable. An inexact parallel splitting algorithm, which is originally used to solve the deterministic variational inequality… read more here.
Keywords: parallel splitting; inexact parallel; variational inequality; multistage stochastic ... See more keywords
IoT-Enhanced Multistage Stochastic Optimization for Multidrug Dynamic Lot-Size and Community Delivery Scheduling Problem
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DOI: 10.1109/jiot.2025.3570480
Abstract: In our work, a multistage stochastic programming model was considered to develop the multidrug dynamic lot-size and delivery scheduling problem (MDLSDSP) under local emergencies. In the real world, the demand and delivery capacity are uncertain… read more here.
Keywords: delivery; dynamic lot; lot size; multidrug dynamic ... See more keywords
A Dynamic Multistage Stochastic Unit Commitment Formulation for Intraday Markets
Sign Up to like & getrecommendations! Published in 2018 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2017.2768384
Abstract: As net-load becomes less predictable there is a lot of pressure in changing decision models for power markets such that they account explicitly for future scenarios in making commitment decisions. This paper proposes to make… read more here.
Keywords: stochastic unit; dynamic multistage; commitment formulation; unit commitment ... See more keywords
Multistage Stochastic Unit Commitment Using Stochastic Dual Dynamic Integer Programming
Sign Up to like & getrecommendations! Published in 2019 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2018.2880996
Abstract: Unit commitment (UC) is a key operational problem in power systems for the optimal schedule of daily generation commitment. Incorporating uncertainty in this already difficult mixed-integer optimization problem introduces significant computational challenges. Most existing stochastic… read more here.
Keywords: multistage stochastic; integer; stochastic dual; unit commitment ... See more keywords
Managing Energy Storage in Microgrids: A Multistage Stochastic Programming Approach
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DOI: 10.1109/tsg.2016.2618621
Abstract: A microgrid is a small-scale version of a centralized power grid that generates, distributes and regulates electricity flow to local entities using distributed generation and the main grid. Distributed energy storage systems can be used… read more here.
Keywords: storage; stochastic programming; energy; energy storage ... See more keywords
Multistage Stochastic Optimization for Microgrid Operation Under Islanding Uncertainty
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Smart Grid"
DOI: 10.1109/tsg.2020.3012158
Abstract: Microgrids can be distinguished from traditional power systems based on their ability to perform the islanded operation. This study explores the problem of optimizing the microgrid operation in the context of uncertain islanding events. This… read more here.
Keywords: multistage stochastic; stochastic optimization; islanded operation; microgrid operation ... See more keywords
Code and Data Repository for On the Value of Risk-Averse Multistage Stochastic Programming in Capacity Planning
Sign Up to like & getrecommendations! Published in 2024 at "INFORMS Journal on Computing"
DOI: 10.1287/ijoc.2023.0396.cd
Abstract: This repository aims to demonstrate the value of risk-averse multistage stochastic programming models in capacity planning problems. read more here.
Keywords: capacity planning; stochastic programming; risk averse; value risk ... See more keywords