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Multistage Stochastic Programming: Algorithms, Modelling And Applications, Murwan Siddig

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This dissertation comprises four di˙erent topics related to multistage stochastic program-ming (MSP) algorithms, modeling, and applications.

First, we extend the adaptive partition-based approach for solving two-stage stochastic programs with a fixed recourse matrix and a fixed cost vector to the MSP setting, where the stochastic process is assumed to be stage-wise independent. The proposed algorithms integrate the adaptive partition-based strategy with a popular approach for solving multistage stochastic programs, the stochastic dual dynamic programming (SDDP) algorithm, according to two main strategies. These two strategies are distinct from each other in the manner by which they refine the partitions during the …