A Scenario Tree-Based Decomposition for Solving Multistage Stochastic Programs

With Application in Energy Production

  • Authors
  • Debora┬áMahlke

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Debora Mahlke
    Pages 1-3
  3. Debora Mahlke
    Pages 5-13
  4. Debora Mahlke
    Pages 15-38
  5. Debora Mahlke
    Pages 57-76
  6. Debora Mahlke
    Pages 95-124
  7. Debora Mahlke
    Pages 125-169
  8. Debora Mahlke
    Pages 171-173
  9. Back Matter
    Pages 175-183

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.


Energy Production Problem Mathematical Modeling Mathematik Primal Heuristics Stochastic Switching Polytopes

Bibliographic information