A risk-based interactive multi-stage stochastic programming approach for water resources planning under dual uncertainties

In this study, a risk-based interactive multi-stage stochastic programming (RIMSP) approach is proposed through incorporating the fractile criterion method and chance-constrained programming within a multistage decision-making framework. RIMSP is able to deal with dual uncertainties expressed as random boundary intervals that exist in the objective function and constraints. Moreover, RIMSP is capable of reflecting dynamics of uncertainties, as well as the trade-off between the total net benefit and the associated risk. A water allocation problem is used to illustrate applicability of the proposed methodology. A set of decision alternatives with different combinations of risk levels applied to the objective function and constraints can be generated for planning the water resources allocation system. The results can help decision makers examine potential interactions between risks related to the stochastic objective function and constraints. Furthermore, a number of solutions can be obtained under different water policy scenarios, which are useful for decision makers to formulate an appropriate policy under uncertainty. The performance of RIMSP is analyzed and compared with an inexact multi-stage stochastic programming (IMSP) method. Results of comparison experiment indicate that RIMSP is able to provide more robust water management alternatives with less system risks in comparison with IMSP. (C) 2016 Elsevier Ltd. All rights reserved.