LAPSE:2025.0356
Published Article
LAPSE:2025.0356
Updated-Absolute Expected Value Solution Approach for multistage stochastic programming problems
June 27, 2025
Abstract
This paper introduces the Updated Absolute Expected Value Solution, U-AEEV, a heuristic for solving multi-stage stochastic programming (MSSP) problems with type 2 endogenous uncertainty. U-AEEV is an evolution of the Absolute Expected Value Solution, AEEV [1]. This paper aims to show how U-AEEV overcomes the drawbacks of AEEV and performs better than AEEV. To demonstrate the performance of U-AEEV, we solve 6 MSSP problems with type 2 endogenous uncertainty and compare the solutions and computational resource requirements.
This paper introduces the Updated Absolute Expected Value Solution, U-AEEV, a heuristic for solving multi-stage stochastic programming (MSSP) problems with type 2 endogenous uncertainty. U-AEEV is an evolution of the Absolute Expected Value Solution, AEEV [1]. This paper aims to show how U-AEEV overcomes the drawbacks of AEEV and performs better than AEEV. To demonstrate the performance of U-AEEV, we solve 6 MSSP problems with type 2 endogenous uncertainty and compare the solutions and computational resource requirements.
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Keywords
endogenous uncertainty, heuristics, Stochastic Optimization
Subject
Suggested Citation
Shoji Y, Cremaschi S. Updated-Absolute Expected Value Solution Approach for multistage stochastic programming problems. Systems and Control Transactions 4:1275-1280 (2025) https://doi.org/10.69997/sct.188893
Author Affiliations
Shoji Y: Department of Chemical Engineering, Auburn University, Auburn, AL 36849, USA
Cremaschi S: Department of Chemical Engineering, Auburn University, Auburn, AL 36849, USA
Cremaschi S: Department of Chemical Engineering, Auburn University, Auburn, AL 36849, USA
Journal Name
Systems and Control Transactions
Volume
4
First Page
1275
Last Page
1280
Year
2025
Publication Date
2025-07-01
Version Comments
Original Submission
Other Meta
PII: 1275-1280-1781-SCT-4-2025, Publication Type: Journal Article
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LAPSE:2025.0356
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https://doi.org/10.69997/sct.188893
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Jun 27, 2025
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References Cited
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