A decomposition-based warm-start method for stochastic programming
نویسندگان
چکیده
In this paper we propose a warm-start technique for interior point methods applicable to multi-stage stochastic programming problems. The main idea is to generate an initial point for the interior point solver by decomposing the barrier problem associated with the deterministic equivalent at the second stage and using a concatenation of the solutions of the subproblems as a starting point for the complete instance. We analyse this scheme and produce theoretical conditions under which the warm-start iterate is successful. We describe the implementation within the OOPS solver and the results of the numerical tests we performed.
منابع مشابه
A decomposition-based crash-start for stochastic programming
In this paper we propose a crash-start technique for interior point methods applicable to multi-stage stochastic programming problems. The main idea is to generate an initial point for the interior point solver by decomposing the barrier problem associated with the deterministic equivalent at the second stage and using a concatenation of the solutions of the subproblems as a warm-starting point...
متن کاملTwo-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...
متن کاملA Benders\' Decomposition Based Solution Method for Solving User Equilibrium Problem: Deterministic and Stochastic Cases
The traffic assignment problem is one of the most important problems for analyzing and optimizing the transportation network to find optimal flows. This study presented a new formulation based on a generalized Benders' decomposition approach to solve its important part, i.e. user equilibrium problems, in deterministic and stochastic cases. The new approach decomposed the problem into a master p...
متن کاملAn enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
Handling uncertainty in natural inflow is an important part of a hydroelectric scheduling model. In a stochastic programming formulation, natural inflow may be modeled as a random vector with known distribution, but the size of the resulting mathematical program can be formidable. Decomposition-based algorithms take advantage of special structure and provide an attractive approach to such probl...
متن کاملA Benders' Decomposition Method to Solve Stochastic Distribution Network Design Problem with Two Echelons and Inter-Depot Transportation
In many practical distribution networks, managers face significant uncertainties in demand, local price of building facilities, transportation cost, and macro and microeconomic parameters. This paper addresses design of distribution networks in a supply chain system which optimizes the performance of distribution networks subject to required service level. This service level, which is consider...
متن کامل