Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
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DOI: 10.1007/s00186-017-0600-6
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References listed on IDEAS
- Bora Tarhan & Ignacio Grossmann & Vikas Goel, 2013. "Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and gradual uncertainty resolution," Annals of Operations Research, Springer, vol. 203(1), pages 141-166, March.
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- Solak, Senay & Clarke, John-Paul B. & Johnson, Ellis L. & Barnes, Earl R., 2010. "Optimization of R&D project portfolios under endogenous uncertainty," European Journal of Operational Research, Elsevier, vol. 207(1), pages 420-433, November.
- Colvin, Matthew & Maravelias, Christos T., 2010. "Modeling methods and a branch and cut algorithm for pharmaceutical clinical trial planning using stochastic programming," European Journal of Operational Research, Elsevier, vol. 203(1), pages 205-215, May.
- Tore Jonsbråten & Roger Wets & David Woodruff, 1998. "A class of stochastic programs withdecision dependent random elements," Annals of Operations Research, Springer, vol. 82(0), pages 83-106, August.
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Cited by:
- Giovanni Pantuso, 2021. "A node formulation for multistage stochastic programs with endogenous uncertainty," Computational Management Science, Springer, vol. 18(3), pages 325-354, July.
- Escudero, Laureano F. & Garín, M. Araceli & Monge, Juan F. & Unzueta, Aitziber, 2020. "Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management," European Journal of Operational Research, Elsevier, vol. 285(3), pages 988-1001.
- Saeid Nasrollahi & Hasan Hosseini-Nasab & Mohammad Bagher Fakhrzad & Mahboobeh Honarvar, 2023. "A multi-stage stochastic model for designing a linked cross-docking distribution network with heterogeneous trucks," Operational Research, Springer, vol. 23(1), pages 1-41, March.
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Keywords
Multistage stochastic programming; Endogenous and exogenous uncertainties; Redundant nonanticipativity constraints; Constraint reduction;All these keywords.
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