A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure

A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure

A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete distribution. The stochastic structure of the uncertain parameters is described by a scenario tree. At each node of this tree, an ambiguity set is defined by co...

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Bibliographic Details
Main Authors: Yu, H., Sun, Jie, Wang, Y.
Format: Journal Article
Language:English
Published: SPRINGER 2021
Subjects:
Science & Technology
Technology
Physical Sciences
Operations Research & Management Science
Mathematics, Applied
Mathematics
Multistage stochastic programming
Distributionally robust
Scenario tree model
Decomposition method
LINEAR-PROGRAMS
CONVERGENCE
ALGORITHM
SELECTION
Online Access:http://hdl.handle.net/20.500.11937/91429

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