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The value of the stochastic solution in multistage problems

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  • Laureano Escudero
  • Araceli Garín
  • María Merino
  • Gloria Pérez

Abstract

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  • Laureano Escudero & Araceli Garín & María Merino & Gloria Pérez, 2007. "The value of the stochastic solution in multistage problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 48-64, July.
    • Handle: RePEc:spr:topjnl:v:15:y:2007:i:1:p:48-64
    DOI: 10.1007/s11750-007-0005-4
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    References listed on IDEAS

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    1. R. T. Rockafellar & Roger J.-B. Wets, 1991. "Scenarios and Policy Aggregation in Optimization Under Uncertainty," Mathematics of Operations Research, INFORMS, vol. 16(1), pages 119-147, February.
    2. Albert Madansky, 1960. "Inequalities for Stochastic Linear Programming Problems," Management Science, INFORMS, vol. 6(2), pages 197-204, January.
    3. Hung-Po Chao, 1981. "Exhaustible Resource Models: The Value of Information," Operations Research, INFORMS, vol. 29(5), pages 903-923, October.
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    Cited by:

    1. Douglas Alem & Pedro Munari & Marcos Arenales & Paulo Ferreira, 2010. "On the cutting stock problem under stochastic demand," Annals of Operations Research, Springer, vol. 179(1), pages 169-186, September.
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    3. Muche, Thomas, 2014. "Optimal operation and forecasting policy for pump storage plants in day-ahead markets," Applied Energy, Elsevier, vol. 113(C), pages 1089-1099.
    4. Scott, Ian J. & Carvalho, Pedro M.S. & Botterud, Audun & Silva, Carlos A., 2021. "Long-term uncertainties in generation expansion planning: Implications for electricity market modelling and policy," Energy, Elsevier, vol. 227(C).
    5. Francesca Maggioni & Elisabetta Allevi & Marida Bertocchi, 2016. "Monotonic bounds in multistage mixed-integer stochastic programming," Computational Management Science, Springer, vol. 13(3), pages 423-457, July.
    6. Mirkhani, Sh. & Saboohi, Y., 2012. "Stochastic modeling of the energy supply system with uncertain fuel price – A case of emerging technologies for distributed power generation," Applied Energy, Elsevier, vol. 93(C), pages 668-674.
    7. Yolanda Hinojosa & Justo Puerto & Francisco Saldanha-da-Gama, 2014. "A two-stage stochastic transportation problem with fixed handling costs and a priori selection of the distribution channels," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 1123-1147, October.
    8. Mina Roohnavazfar & Daniele Manerba & Lohic Fotio Tiotsop & Seyed Hamid Reza Pasandideh & Roberto Tadei, 2021. "Stochastic single machine scheduling problem as a multi-stage dynamic random decision process," Computational Management Science, Springer, vol. 18(3), pages 267-297, July.
    9. Xuecheng Yin & İ. E. Büyüktahtakın, 2021. "A multi-stage stochastic programming approach to epidemic resource allocation with equity considerations," Health Care Management Science, Springer, vol. 24(3), pages 597-622, September.
    10. Agustı´n, A. & Alonso-Ayuso, A. & Escudero, L.F. & Pizarro, C., 2012. "On air traffic flow management with rerouting. Part II: Stochastic case," European Journal of Operational Research, Elsevier, vol. 219(1), pages 167-177.
    11. Giovanni Pantuso & Trine K. Boomsma, 2020. "On the number of stages in multistage stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 581-603, September.
    12. Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
    13. Rennemo, Sigrid Johansen & Rø, Kristina Fougner & Hvattum, Lars Magnus & Tirado, Gregorio, 2014. "A three-stage stochastic facility routing model for disaster response planning," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 62(C), pages 116-135.
    14. Svensson, Elin & Strömberg, Ann-Brith & Patriksson, Michael, 2011. "A model for optimization of process integration investments under uncertainty," Energy, Elsevier, vol. 36(5), pages 2733-2746.
    15. Alonso-Ayuso, Antonio & Escudero, Laureano F. & Guignard, Monique & Weintraub, Andres, 2018. "Risk management for forestry planning under uncertainty in demand and prices," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1051-1074.
    16. Francesca Maggioni & Elisabetta Allevi & Marida Bertocchi, 2014. "Bounds in Multistage Linear Stochastic Programming," Journal of Optimization Theory and Applications, Springer, vol. 163(1), pages 200-229, October.
    17. Adrian Werner, Kristin Tolstad Uggen, Marte Fodstad, Arnt-Gunnar Lium, and Ruud Egging, 2014. "Stochastic Mixed-Integer Programming for Integrated Portfolio Planning in the LNG Supply Chain," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    18. Abdoli, B. & Hooshmand, F. & MirHassani, S.A., 2023. "A novel stochastic programming model under endogenous uncertainty for the CCS-EOR planning problem," Applied Energy, Elsevier, vol. 338(C).
    19. Meersman, Tine & Maenhout, Broos & Van Herck, Koen, 2023. "A nested Benders decomposition-based algorithm to solve the three-stage stochastic optimisation problem modeling population-based breast cancer screening," European Journal of Operational Research, Elsevier, vol. 310(3), pages 1273-1293.
    20. Laur, Arnaud & Nieto-Martin, Jesus & Bunn, Derek W. & Vicente-Pastor, Alejandro, 2020. "Optimal procurement of flexibility services within electricity distribution networks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 34-47.
    21. Erick Delage & Sharon Arroyo & Yinyu Ye, 2014. "The Value of Stochastic Modeling in Two-Stage Stochastic Programs with Cost Uncertainty," Operations Research, INFORMS, vol. 62(6), pages 1377-1393, December.
    22. Àlex Alonso & Jordi de la Hoz & Helena Martín & Sergio Coronas & Pep Salas & José Matas, 2020. "A Comprehensive Model for the Design of a Microgrid under Regulatory Constraints Using Synthetical Data Generation and Stochastic Optimization," Energies, MDPI, vol. 13(21), pages 1-26, October.

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