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A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

With Application in Energy Production

  • Book
  • © 2011

Overview

Authors:
  1. Debora Mahlke
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Part of the book series: Stochastic Programming (STPR)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Overview

    • Debora Mahlke
    Pages 1-3

  3. An Energy Production Problem

    • Debora Mahlke
    Pages 5-13

  4. Mathematical Modeling

    • Debora Mahlke
    Pages 15-38

  5. Polyhedral Study of Stochastic Switching Polytopes

    • Debora Mahlke
    Pages 39-56

  6. Primal Heuristics

    • Debora Mahlke
    Pages 57-76

  7. A Scenario Tree-Based Decomposition of Multistage Stochastic Mixed-Integer Problems

    • Debora Mahlke
    Pages 77-94

  8. Algorithmic Implementation

    • Debora Mahlke
    Pages 95-124

  9. Computational Results

    • Debora Mahlke
    Pages 125-169

  10. Conclusions

    • Debora Mahlke
    Pages 171-173

  11. Back Matter

    Pages 175-183
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Keywords

About this book

Optimization problems involving uncertain data arise in many areas of industrial and economic applications. Stochastic programming provides a useful framework for modeling and solving optimization problems for which a probability distribution of the unknown parameters is available.
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.

About the author

Debora Mahlke received her Ph.D. in Mathematics from the Technische Universität Darmstadt where she currently works as a postdoctoral research associate.

Bibliographic Information

  • Book Title: A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

  • Book Subtitle: With Application in Energy Production

  • Authors: Debora Mahlke

  • Series Title: Stochastic Programming

  • DOI: https://doi.org/10.1007/978-3-8348-9829-6

  • Publisher: Vieweg+Teubner Verlag Wiesbaden

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Vieweg+Teubner Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden 2011

  • Softcover ISBN: 978-3-8348-1409-8Published: 27 October 2010

  • eBook ISBN: 978-3-8348-9829-6Published: 30 January 2011

  • Series ISSN: 2945-8773

  • Series E-ISSN: 2945-8781

  • Edition Number: 1

  • Number of Pages: XVI, 182

  • Number of Illustrations: 14 b/w illustrations

  • Topics: Probability Theory and Stochastic Processes, Mathematics, general

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