A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs
Debora Mahlke
Broschiertes Buch

A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

With Application in Energy Production

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Optimization problems involving uncertain data arise in many areas of industrial and economic applications. Stochastic programming provides a useful framework for modeling and solving optimization problems for which a probability distribution of the unknown parameters is available.Motivated by practical optimization problems occurring in energy systems with regenerative energy supply, Debora Mahlke formulates and analyzes multistage stochastic mixed-integer models. For their solution, the author proposes a novel decomposition approach which relies on the concept of splitting the underlying sce...