Questions tagged [multi-stage]
The multi-stage tag has no usage guidance.
10
questions
0
votes
1
answer
37
views
How can I write the output stream of SDDP.jl into an excel file?
I am using SDDP.jl for my research project in which I am developing a state-of-the-art actor critic algorithm which I am going to benchmark with SDDP but for it I need to plot graphs which require ...
1
vote
1
answer
127
views
Is stochastic dual dynamic programming (SDDP) a deterministic solution algorithm or does it have a stochastic component to it?
I am currently working on a paper in which I am statistically comparing dynamic optimization algorithms like SDDP, Actor-Critics etc.
In this regard, should I be running SDDP algorithm for my ...
1
vote
1
answer
76
views
Can stochastic dual dynamic programming algorithm (or any variant of it) handle multi-stage optimization problems with here-and-now uncertainty nodes?
Stochastic dual dynamic programming (SDDP) algorithm solves stage-wise optimization problem through sampling scenarios. In this regard, it is obvious to see that wait-and-see uncertainty can be easily ...
1
vote
1
answer
66
views
Connected optimization problems
I'm working on a set of interconnected problems and I'm not sure how I can solve across the connection. First, a set of variables, $x$, is solved using the following:
$$\max_{x}f(x)$$
Subject to:
$$w^...
- 45
2
votes
1
answer
66
views
In the context of risk-averse multi-stage programming and scheduling of resources consumption, is it always optimum to most risky resource first?
In the case of multiple stages with risk averse decision maker, there can be a decision situation where multiple resources has to be scheduled for consumption. These resources can have varying degree ...
1
vote
0
answers
71
views
Multi-Stage Stochastic Decomposition
I have a multi-stage model with both binary and continuous first-stage investment variables and continuous operational next-stage variables:
$$
\sum_{s} \rho_{s} \left[ x_{s} + y_{s} + \sum_{t}(y^{op}...
- 103
2
votes
1
answer
116
views
multi stage stochastic programming algorithm
I have a multi-stage stochastic programming model. I have 3 groups of variables: the first group takes values at the beginning of the planning horizon before the first realization and does not change ...
- 21
3
votes
1
answer
361
views
Multi period inventory / reordering MILP in PULP
I'm trying to optimize reorder quantities for $n$ products over $m$ periods in PuLP. The total reorder quantity should fill a container. I've never worked with multiple periods before, and I can't get ...
- 83
2
votes
0
answers
207
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 ...
- 2,150
2
votes
0
answers
674
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} =...
- 2,150