Papers › A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty
A Node Formulation for Multistage Stochastic Programs with Endogenous Uncertainty
Giovanni Pantuso
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
This paper introduces a node formulation for multistage stochastic programs with endogenous (i.e., decision-dependent) uncertainty. Problems with such structure arise when the choices of the decision maker determine a change in the likelihood of future random events. The node formulation avoids an explicit statement of non-anticipativity constraints, and as such keeps the dimension of the model sizeable. An exact solution algorithm for a special case is introduced and tested on a case study. Results show that the algorithm outperforms a commercial solver as the size of the instances increases.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections