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Bounds in multi-horizon stochastic programs

Maggioni, Francesca; Allevi, Elisabetta; Tomasgard, Asgeir
Peer reviewed, Journal article
Accepted version
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Bounds_multihorizon_R2.pdf (552.8Kb)
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https://hdl.handle.net/11250/2650980
Utgivelsesdato
2019
Metadata
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  • Institutt for industriell økonomi og teknologiledelse [1899]
  • Publikasjoner fra CRIStin - NTNU [19849]
Originalversjon
Annals of Operations Research. 2019, 1-21.   10.1007/s10479-019-03244-9
Sammendrag
In this paper, we present bounds for multi-horizon stochastic optimization problems, a class of problems introduced in Kaut et al. (Comput Manag Sci 11:179–193, 2014) relevant in many industry-life applications typically involving strategic and operational decisions on two different time scales. After providing three general mathematical formulations of a multi-horizon stochastic program, we extend the definition of the traditional Expected Value problem and Wait-and-See problem from stochastic programming in a multi-horizon framework. New measures are introduced allowing to quantify the importance of the uncertainty at both strategic and operational levels. Relations among the solution approaches are then determined and chain of inequalities provided. Numerical experiments based on an energy planning application are finally presented.
Utgiver
Springer
Tidsskrift
Annals of Operations Research

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