Modeling and Decomposing Multi-Stage and Multi-Scale Stochastic Optimization Problems

Ramteen Sioshansi
Ohio State University

Many optimization problems have a multi-stage and multi-scale nature to them. Multi-stage means that decisions are being made and information revealed at multiple epochs. Multi-scale means that the decisions and information that are made and revealed at different stages in the problem have different scales to them. This talk uses long-run generation and transmission capacity planning as a motivating example of a problem with both features. We discuss how to formulate such a problem and the use of decomposition techniques to make the problem tractable.

Presentation (PDF File)

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