Multistage Stochastic Programming with Recourse: The Equivalent Deterministic Problem

1976 ◽  
Vol 14 (3) ◽  
pp. 495-517 ◽  
Author(s):  
Paul Olsen
Keyword(s):  
Stochastic Programming ◽  
Multistage Stochastic Programming ◽  
Deterministic Problem ◽  
Stochastic Programming With Recourse

scholarly journals Management of non-maturing deposits by multistage stochastic programming

2003 ◽  
Vol 151 (3) ◽  
pp. 602-616 ◽  
Author(s):  
Karl Frauendorfer ◽  
Michael Schürle
Keyword(s):  
Stochastic Programming ◽  
Multistage Stochastic Programming

scholarly journals Solution strategies for multistage stochastic programming with endogenous uncertainties

2011 ◽  
Vol 35 (11) ◽  
pp. 2235-2247 ◽  
Author(s):  
Vijay Gupta ◽  
Ignacio E. Grossmann
Keyword(s):  
Stochastic Programming ◽  
Multistage Stochastic Programming ◽  
Solution Strategies

scholarly journals An Inventory-Theory-Based Inexact Multistage Stochastic Programming Model for Water Resources Management

2013 ◽  
Vol 2013 ◽  
pp. 1-15 ◽  
Author(s):  
M. Q. Suo ◽  
Y. P. Li ◽  
G. H. Huang ◽  
Y. R. Fan ◽  
Z. Li
Keyword(s):  
Water Resources ◽  
Stochastic Programming ◽  
Water Resources Management ◽  
Programming Model ◽  
Water Shortage ◽  
Multistage Stochastic Programming ◽  
Dynamic Features ◽  
Inventory Theory ◽  
Resources Management ◽  
Water Resources Systems

An inventory-theory-based inexact multistage stochastic programming (IB-IMSP) method is developed for planning water resources systems under uncertainty. The IB-IMSP is based on inexact multistage stochastic programming and inventory theory. The IB-IMSP cannot only effectively handle system uncertainties represented as probability density functions and discrete intervals but also efficiently reflect dynamic features of system conditions under different flow levels within a multistage context. Moreover, it can provide reasonable transferring schemes (i.e., the amount and batch of transferring as well as the corresponding transferring period) associated with various flow scenarios for solving water shortage problems. The applicability of the proposed IB-IMSP is demonstrated by a case study of planning water resources management. The solutions obtained are helpful for decision makers in not only identifying different transferring schemes when the promised water is not met, but also making decisions of water allocation associated with different economic objectives.

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