Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty

F. Hooshmand and S. A. MirHassani ()
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F. Hooshmand: Amirkabir University of Technology
S. A. MirHassani: Amirkabir University of Technology

Mathematical Methods of Operations Research, 2018, vol. 87, issue 1, No 1, 18 pages

Abstract: Abstract Multistage stochastic programming (SP) with both endogenous and exogenous uncertainties is a novel problem in which some uncertain parameters are decision-dependent and others are independent of decisions. The main difficulty of this problem is that nonanticipativity constraints (NACs) make up a significantly large constraint set, growing very fast with the number of scenarios and leading to an intractable model. Usually, a lot of these constraints are redundant and hence, identification and elimination of redundant NACs can cause a significant reduction in the problem size. Recently, a polynomial time algorithm has been proposed in the literature which is able to identify all redundant NACs in an SP problem with only endogenous uncertainty. In this paper, however, we extend the algorithm proposed in the literature and present a new method which is able to make the upper most possible reduction in the number of NACs in any SP with both exogenous and endogenous uncertain parameters. Proving the validity of this method is another innovation of this study. Computational results confirm that the proposed approach can significantly reduce the problem size within a reasonable computation time.

Keywords: Multistage stochastic programming; Endogenous and exogenous uncertainties; Redundant nonanticipativity constraints; Constraint reduction (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00186-017-0600-6

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