Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming

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Funding Acknowledgements

The authors are very grateful to BHP Billiton Ltd. and in particular to Merab Menabde, Peter Stone, and Mark Zuckerberg for their support of the mining-related research that inspired this work. We also thank Hamish Waterer and Laana Giles for useful discussions in the early stages of the research, and thank Hamish for his helpful suggestions and proof-reading of early versions of this paper. We are most grateful to Ignacio Grossmann for his advice and encouragement in completing the paper. This research would not have been possible without the support of the Australian Research Council, grant LP0561744. Finally, the efforts of two anonymous reviewers in improving the paper were greatly appreciated.