A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

Download or read book A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs written by Debora Mahlke and published by Springer Science & Business Media. This book was released on 2011-01-30 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by practical optimization problems occurring in energy systems with regenerative energy supply, Debora Mahlke formulates and analyzes multistage stochastic mixed-integer models. For their solution, the author proposes a novel decomposition approach which relies on the concept of splitting the underlying scenario tree into subtrees. Based on the formulated models from energy production, the algorithm is computationally investigated and the numerical results are discussed.