Exploiting the structure of autoregressive processes in chance‐constrained multistage stochastic linear programs

Exploiting the structure of autoregressive processes in chance‐constrained multistage stochastic linear programs

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Article ID: iaor20127754
Volume: 40
Issue: 6
Start Page Number: 478
End Page Number: 483
Publication Date: Nov 2012
Journal: Operations Research Letters
Authors: ,
Keywords: simulation
Abstract:

We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulæ linking future values of the process with past values and noises. We then consider multistage stochastic linear programs with uncertain sets depending affinely on such processes. At each stage, dealing with uncertainty using probabilistic constraints, the recursive relations can be used to obtain explicit expressions for the feasible set.

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