Multistage stochastic model with EMP: joint random variable over multiple stages

GAMS
1

Hello everyone,

I am trying to define a multistage stochastic model with EMP where the random variable in one stage depends on the realisation of a random variable in the previous stage.
I tried putting in the information in the emp info file as follows:

put “jrandvar myRandVar(“stage2”) myRandVar(“stage3”) 0.25 100 80 0.25 100 120 0.25 50 70 0.25 50 30” /;

Thus the idea is that myRandVar could have the values 100 or 50 in stage 2.
In stage 3, if myRandVar was 100 in stage 2, it can be 80 or 120.
If myRandVar was 50 in stage 2, it can be 70 or 30 in stage 3.

If I put it in like above, I receive the following error message:
*** emp.info line 92: All RVs in a joint RV set have to have the same stage number

Is there a way of defining the scenario tree as described?

Thanks a lot,
Stefan

2

No, not in EMP-SP. But you can build your scenario tree in any way you like and formulate the deterministic equivalent yourself. The GAMS Model library has some models that demonstrate how to do this, e.g. clearlak: https://www.gams.com/latest/gamslib_ml/libhtml/gamslib_clearlak.html.

-Michael