Optimization Online


Bounds in multi-horizon stochastic programs

Francesca Maggioni(francesca.maggioni***at***unibg.it)
Elisabetta Allevi(elisabetta.allevi***at***eco.unibs.it)
Asgeir Tomasgard(asgeir.tomasgard***at***iot.ntnu.no)

Abstract: In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in [16] relevant in many industry-life applications tipically 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 on a real-life application from energy planning are finally presented.

Keywords: bounds; multi-horizon; stochastic programs; energy; strategic decisions; operational decisions

Category 1: Stochastic Programming

Category 2: Applications -- OR and Management Sciences

Citation: submitted to Annals of Operations Research (January 2018)

Download: [PDF]

Entry Submitted: 02/28/2018
Entry Accepted: 02/28/2018
Entry Last Modified: 02/28/2018

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society