GENERAL MULTISTAGE MODEL

• FORMULATION:

MIN E [ ?t=1T ft(xt,xt+1) ]

s.t. xt ? Xt

xt nonanticipative

P[ ht (xt,xt+1) � 0 ] � a (chance constraint)

EXAMPLES:

Power: Nonlinear functions, continuous or

integer variables

Capacity: Linear plus integer variables

Financial Planning: Nonlinear objective, continuous variables

Previous slide

Next slide

Back to first slide

View graphic version