Questions tagged [stochastic-programming]

For questions about optimization problems in which one or more parameters are stochastic, with known probability distributions or discrete scenarios. The goal is often, but not always, to minimize or maximize the expected value of the objective function.

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9
votes
1answer
71 views

Infinite horizon versus finite horizon MDP

When can we approximate a finite horizon MDP with infinite horizon? Can we use infinite horizon stochastic shortest path problem on a directed acyclic graph?
9
votes
1answer
80 views

Advantages/disadvantages of different representations of non-anticipativity constraints

When reading various papers about two-stage (or multi-stage) stochastic programs with recourse, a common representation of the non-anticipativity constraints is: $$ \sum_{i}H_ix_i=h, $$ where $i$ ...
13
votes
3answers
192 views

Benchmark problems for scenario-based stochastic optimization

$\newcommand{\E}{\mathbb{E}}$I am working on numerical algorithms for solving convex large-scale multistage scenario-based problems and I am looking for some standard benchmarks problems. I have so ...
15
votes
2answers
124 views

Stochastic programming MIP solvers

I am aware that Benders Decomposition is readily available in CPLEX and in SCIP; but are there any (free) solvers that provide off the shelf stochastic programming MIP algorithms or a nice to work ...
11
votes
1answer
106 views

2 stage stochastic programming to approximate many stage problems

There are many naturally multi-stage (i.e., more than two) stochastic programming problems that are approximated by a two-stage stochastic programming model due to the complete intractability of the '...