Modeling multi-stage decision optimization problems

Ronald Hochreiter

Multi-stage optimization under uncertainty techniques can be used to solve long-term management problems. Although many optimization modeling language extensions as well as computational environments have been proposed, the acceptance of this technique is generally low, due to the inherent complexity of the modeling and solution process. In this paper a simplification to annotate multi-stage decision problems under uncertainty is presented - this simplification contrasts with the common approach to create an extension on top of an existing optimization modeling language. This leads to the definition of meta models, which can be instanced in various programming languages. An example using the statistical computing language R is shown.

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