A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives

摘要

We identify multistage stochastic integer programs with risk objectives where the related wait-and-see problems enjoy similar separability as in the risk neutral case. For models belonging to this class we present a solution method combining branch-and-bound with relaxation of nonanticipativity and constraint branching along nonanticipativity subspaces.