Bounds in multi-horizon stochastic programs

Francesca Maggioni (), Elisabetta Allevi () and Asgeir Tomasgard ()
Additional contact information
Francesca Maggioni: University of Bergamo
Elisabetta Allevi: Brescia University
Asgeir Tomasgard: Norwegian University of Science and Technology

Annals of Operations Research, 2020, vol. 292, issue 2, No 3, 605-625

Abstract: Abstract In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically involving strategic and operational decisions on two different time scales. After providing three general mathematical formulations of a multi-horizon stochastic program, we extend the definition of the traditional Expected Value problem and Wait-and-See problem from stochastic programming in a multi-horizon framework. New measures are introduced allowing to quantify the importance of the uncertainty at both strategic and operational levels. Relations among the solution approaches are then determined and chain of inequalities provided. Numerical experiments based on an energy planning application are finally presented.

Keywords: Bounds; Multi-horizon; Stochastic programs; Energy; Strategic decisions; Operational decisions (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-019-03244-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03244-9

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-019-03244-9

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().