Resumen de On using multistage linking constraints for stochastic optimization as a decision-making aid
Laureano Fernando Escudero Bueno
We present a model1ing framework for multistage planning problems under uncertainty in the objective function coefficients and right-hand-side. A multistagy scenario analysis scheme with partial recourse is used. So, the decisíon polícy can be implemented for a given set of initial time periods (so-called implementable time stage), such that the solution for the other periods lioes not need' to be anticipated and, then, it depends upon the scenario group to occur at each stage. In any ca~e the solution offered for each stage takes ínto accountal1 scenaríos but wíthout subordinating to any of them. A novel scheme is presented for modelling multistage linkíng constraints .through the scenario tree. This type of constraínts is modelled by using a splitting variable scheme that allows to produce a sibble of the coupling variables for each scenario group that belongs to the latest stage with nonzero coefficients in the given constraints block. The proposed scheme is very amenable for usíng decomposition approaches to solve the deterministic equivalent model and, then, for experimenting with parallel computing implementations.
