A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty
Optimization and Control
2021-03-05 v1
Abstract
This paper introduces a node formulation for multistage stochastic programs with endogenous (i.e., decision-dependent) uncertainty. Problems with such structure arise when the choices of the decision maker determine a change in the likelihood of future random events. The node formulation avoids an explicit statement of non-anticipativity constraints, and as such keeps the dimension of the model sizeable. An exact solution algorithm for a special case is introduced and tested on a case study. Results show that the algorithm outperforms a commercial solver as the size of the instances increases.
Cite
@article{arxiv.2102.07131,
title = {A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty},
author = {Giovanni Pantuso},
journal= {arXiv preprint arXiv:2102.07131},
year = {2021}
}