A node formulation for multistage stochastic programs with endogenous uncertainty
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- A Node Formulation for Multistage Stochastic Programs with
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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.
Original language | English |
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Journal | Computational Management Science |
Volume | 18 |
Issue number | 3 |
Pages (from-to) | 325 - 354 |
ISSN | 1619-697X |
DOIs | |
Publication status | Published - 2021 |
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