Questions tagged [multi-stage]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
2
votes
0answers
70 views

What is the intuition behind Progressive hedging algorithm?

I am reading some papers about PHA to solve multi-stage stochastic programming, but I think it is not still clear to me. This is my understanding and I would be thankful to know if it is correct or ...
2
votes
0answers
80 views

How to write nonanticipativity constraints?

In Multi-stage stochastic programming, we write the constraints that for scenarios $s$ and $s^{\prime}$ which have the same trajectory up to time $t$, should take the same value. That is, $$ x_{t,s} =...