Questions tagged [multi-stage]
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2
questions
2
votes
0answers
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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} =...
