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SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
(Springer, 2014-01)
We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ...
Risk-averse feasible policies for large-scale multistage stochastic linear programs
(Springer Heidelberg, 2013-04)
We consider risk-averse formulations of stochastic linear programs having a structure that is common in real-life applications. Specifically, the optimization problem corresponds to controlling over a certain horizon a ...
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
(EMAp - Escola de Matemática Aplicada, 2016)
We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ...
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
(Elsevier Science Bv, 2012-11)
We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ...
Constant Depth Decision Rules for Multistage Stochastic Convex Programs
(2020-05)
In this paper, we introduce a new class of decision rules called Constant Depth Decision Rules (CDDRs) for Multistage Stochastic Convex Programs (MSCP) depending on a parame- ter Mi called the depth of the decision rules. ...
A novel constraint programming model for large-scale scheduling problems in multiproduct multistage batch plants: Limited resources and campaign-based operation
(Elsevier, 2016-07)
This contribution introduces an efficient constraint programming (CP) model that copes with large-scale scheduling problems in multiproduct multistage batch plants. It addresses several features found in industrial ...