Questions tagged [multi-stage]

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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 ...
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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 ...
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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 ...
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2 votes
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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} =...
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