In this contribution we present a time and nodal decomposition approach to solve a rather general multistage stochastic programming problem that can be tackled in the framework of a discrete time optimal control problem. The optimal solution is obtained solving small decomposed subproblems and using a mean valued fixed-point iterative scheme. Moreover to enhance the convergence we propose an optimization step in which the weights are chosen in an optimal way at each iteration.

A decomposition approach in multistage stochastic programming

BARRO, Diana;CANESTRELLI, Elio
2005-01-01

Abstract

In this contribution we present a time and nodal decomposition approach to solve a rather general multistage stochastic programming problem that can be tackled in the framework of a discrete time optimal control problem. The optimal solution is obtained solving small decomposed subproblems and using a mean valued fixed-point iterative scheme. Moreover to enhance the convergence we propose an optimization step in which the weights are chosen in an optimal way at each iteration.
2005
Rendiconti per gli Studi Economici Quantitativi. Numero speciale in onore di Giovanni Castellani
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/29231
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