A diagonal quadratic approximation method for linear multistage stochastic programming problems

2007 ◽  
pp. 588-597 ◽  
Author(s):  
John M. Mulvey ◽  
Andrzej Ruszczyński
Keyword(s):  
Stochastic Programming ◽  
Approximation Method ◽  
Quadratic Approximation ◽  
Multistage Stochastic Programming ◽  
Diagonal Quadratic Approximation

scholarly journals An Inventory-Theory-Based Inexact Multistage Stochastic Programming Model for Water Resources Management

2013 ◽  
Vol 2013 ◽  
pp. 1-15 ◽  
Author(s):  
M. Q. Suo ◽  
Y. P. Li ◽  
G. H. Huang ◽  
Y. R. Fan ◽  
Z. Li
Keyword(s):  
Water Resources ◽  
Stochastic Programming ◽  
Water Resources Management ◽  
Programming Model ◽  
Water Shortage ◽  
Multistage Stochastic Programming ◽  
Dynamic Features ◽  
Inventory Theory ◽  
Resources Management ◽  
Water Resources Systems

An inventory-theory-based inexact multistage stochastic programming (IB-IMSP) method is developed for planning water resources systems under uncertainty. The IB-IMSP is based on inexact multistage stochastic programming and inventory theory. The IB-IMSP cannot only effectively handle system uncertainties represented as probability density functions and discrete intervals but also efficiently reflect dynamic features of system conditions under different flow levels within a multistage context. Moreover, it can provide reasonable transferring schemes (i.e., the amount and batch of transferring as well as the corresponding transferring period) associated with various flow scenarios for solving water shortage problems. The applicability of the proposed IB-IMSP is demonstrated by a case study of planning water resources management. The solutions obtained are helpful for decision makers in not only identifying different transferring schemes when the promised water is not met, but also making decisions of water allocation associated with different economic objectives.

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