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Bound‐based approximations in multistage stochasticprogramming: Nonanticipativity aggregation

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  • N.C.P. Edirisinghe

Abstract

This paper considers bounding techniques within multistage stochastic programmingand their computational issues. First, a brief overview of bound‐based approximations isprovided within the context of two‐stage stochastic programs. Then, a new methodology forapproximating multistage stochastic programs is developed using a process called non‐anticipativityaggregation. The method advocates relaxing nonanticipativity requirementsof the decisions up to a certain second‐order aggregation to compute lower bounds. Then,this relaxation is refined progressively towards solving the stochastic program. Preliminarycomputational results are presented. Copyright Kluwer Academic Publishers 1999

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  • N.C.P. Edirisinghe, 1999. "Bound‐based approximations in multistage stochasticprogramming: Nonanticipativity aggregation," Annals of Operations Research, Springer, vol. 85(0), pages 103-127, January.
    • Handle: RePEc:spr:annopr:v:85:y:1999:i:0:p:103-127:10.1023/a:1018961525394
    DOI: 10.1023/A:1018961525394
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