A Numerical Method for Two-Stage Stochastic Programs under Uncertainty

A Numerical Method for Two-Stage Stochastic Programs under Uncertainty

Motivated by problems coming from planning and operational management in power generation companies, this work extends the traditional two-stage linear stochastic program by adding probabilistic constraints in the second stage. In this work we describe, under special assumptions, how the two-stage stochastic programs with mixed probabilities can be treated computationally. We obtain a convex co...

Two-stage stochastic linear programs with incomplete information on uncertainty

Two-stage Stochastic Programing Based on the Accelerated Benders Decomposition for Designing Power Network Design under Uncertainty

In this paper, a comprehensive mathematical model for designing an electric power supply chain network via considering preventive maintenance under risk of network failures is proposed. The risk of capacity disruption of the distribution network is handled via using a two-stage stochastic programming as a framework for modeling the optimization problem. An applied method of planning for the net...

Commitment Under Uncertainty: Two-Stage Stochastic Matching Problems

We define and study two versions of the bipartite matching problem in the framework of two-stage stochastic optimization with recourse. In one version the uncertainty is in the second stage costs of the edges, in the other version the uncertainty is in the set of vertices that needs to be matched. We prove lower bounds, and analyze efficient strategies for both cases. These problems model real-...

A Two-Stage Stochastic Program for Unit Commitment Under Uncertainty in a Hydro-Thermal Power System

We develop a two-stage stochastic programming model with integer first-stage and mixed-integer recourse for solving the unit commitment problem in power generation in the presence of uncertainty of load profiles. The solution methodology rests on a novel scenario decomposition method for stochastic integer programming. This method combines Lagrangian relaxation of non-anticipativity constraints...