Multistage stochastic programming with fuzzy probability distribution
Abstract: In this paper, we study stochastic programs with partial
information on probability distribution (SPI) [1,2]. The probability distribution is
discrete and is only known to belongs to a given polyhedral set. Stochastic programs with
moment constraints in the probability distribution represent a special case of SPI
We extend the solution method for the two stage case , to solve the multistage SPI program. First, a certainty equivalent is constructed using the hypothesis that the Decision Maker (DM) has a pessimistic attitude and then the resulting program is solved using a modified version of the nested L-shaped method.
Keywords: Stochastic programming, Partial linear information, Multistage stochastic programming, Nested L-shaped decomposition method.
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