Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation.
Pierre CarpentierJean-Philippe ChancelierMichel De LaraPublished in: SIAM J. Optim. (2024)
Keyphrases
- multistage
- stochastic optimization problems
- global constraints
- dynamic programming
- production system
- single stage
- control policies
- random variables
- stochastic programming
- optimal policy
- capacity expansion
- lot sizing
- stochastic optimization
- multistage stochastic
- optimization problems
- constraint programming
- lot streaming
- probability distribution
- mathematical model
- evolutionary algorithm
- reinforcement learning