Bound‐based approximations in multistage stochasticprogramming: Nonanticipativity aggregation

N.C.P. Edirisinghe

Annals of Operations Research, 1999, vol. 85, issue 0, 103-127

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

Date: 1999
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DOI: 10.1023/A:1018961525394

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