Bounds in multi-horizon stochastic programs
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| Název: | Bounds in multi-horizon stochastic programs |
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| Autoři: | Maggioni, Francesca, Allevi, Elisabetta, Tomasgard, Asgeir |
| Zdroj: | Annals of Operations Research. 292:605-625 |
| Informace o vydavateli: | Springer Science and Business Media LLC, 2019. |
| Rok vydání: | 2019 |
| Témata: | Bounds, Multi-horizon, Stochastic programs, Energy, Strategic decisions, Operational decisions, Keywords bounds multi-horizon stochastic programs energy strategic decisions operational decisions, 0211 other engineering and technologies, 02 engineering and technology |
| Popis: | In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically 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 based on an energy planning application are finally presented. |
| Druh dokumentu: | Article |
| Popis souboru: | application/pdf |
| Jazyk: | English |
| ISSN: | 1572-9338 0254-5330 |
| DOI: | 10.1007/s10479-019-03244-9 |
| Přístupová URL adresa: | https://ntnuopen.ntnu.no/ntnu-xmlui/bitstream/11250/2650980/1/Bounds_multihorizon_R2.pdf https://hdl.handle.net/10446/138717 https://doi.org/10.1007/s10479-019-03244-9 |
| Rights: | Springer TDM |
| Přístupové číslo: | edsair.doi.dedup.....e40422e020fd0fcfcf608545f6979c18 |
| Databáze: | OpenAIRE |
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Nájsť tento článok vo Web of Science | Abstrakt: | In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically 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 based on an energy planning application are finally presented. |
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| ISSN: | 15729338 02545330 |
| DOI: | 10.1007/s10479-019-03244-9 |