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Multi-horizon stochastic programming

Kaut, Michal; Midthun, Kjetil Trovik; Werner, Adrian; Tomasgard, Asgeir; Hellemo, Lars; Fodstad, Marte
Journal article, Peer reviewed
Accepted version
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URI
http://hdl.handle.net/11250/2465219
Date
2014
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  • Institutt for industriell økonomi og teknologiledelse [2426]
  • Publikasjoner fra CRIStin - NTNU [26746]
Original version
Computational Management Science. 2014, 11 (1-2), 179-193.   10.1007/s10287-013-0182-6
Abstract
Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs an operational time scale to get a proper picture of the infrastructure’s performance and profitability. In addition, both the strategic and operational levels are typically subject to significant uncertainty, which has to be taken into account. This combination of uncertainties on two different time scales creates problems for the traditional multistage stochastic-programming formulation of the problem due to the exponential growth in model size. In this paper, we present an alternative formulation of the problem that combines the two time scales, using what we call a multi-horizon approach, and illustrate it on a stylized optimization model. We show that the new approach drastically reduces the model size compared to the traditional formulation and present two real-life applications from energy planning.
Publisher
Springer Verlag
Journal
Computational Management Science

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