نتایج جستجو برای: stage stochastic programming sample average approximation multiple cuts benders decomposition
تعداد نتایج: 2354021 فیلتر نتایج به سال:
We present a constraint-and-column generation algorithm to solve two-stage robust optimization problems. Compared with existing Benders style cutting plane methods, it is a general procedure with a unified approach to deal with optimality and feasibility. A computational study on a two-stage robust location-transportation problem shows that it performs an order of magnitude faster. Also, it rev...
Large scale stochastic linear programs are typically solved using a combination of mathematical programming techniques and sample-based approximations. Some methods are designed to permit sample sizes to adapt to information obtained during the solution process, while others are not. In this paper, we experimentally examine the relative merits of approximations based on adaptive samples and tho...
Stochastic Programming (SP) has long been considered as a well-justified yet computationally challenging paradigm for practical applications. Computational studies in the literature often involve approximating a large number of scenarios by using a small number of scenarios to be processed via deterministic solvers, or running Sample Average Approximation on some genre of high performance machi...
Power generation planning in large-scale hydrothermal systems is a complex optimization task, specially due to the high uncertainty in the inflows to hydro plants. Since it is impossible to traverse the huge scenario tree of the multi-stage problem, stochastic dual dynamic programming (SDDP) is the leading optimization technique to solve it, originally from an expected-cost minimization perspec...
Given a graph with nonnegative edge weights and node pairs Q, we study the problem of constructing a minimum weight set of edges so that the induced subgraph contains at least K edge-disjoint paths containing at most L edges between each pair in Q. Using the layered representation introduced by Gouveia (1998), we present a formulation for the problem valid for any K, L ! 1. We use a Benders dec...
Zhao [28] recently showed that the log barrier associated with the recourse function of twostage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first stage solutions. In this paper we show that the recourse function is also strongly self-concordant and forms a self concordant family for the two-stage stochastic convex quadratic...
This paper presents an asymptotic analysis of a Monte Carlo method, variously known as sample average approximation (SAA) or sample path optimization (SPO), for a general two-stage stochastic minimization problem. We study the case when the second-stage problem may have multiple local optima or stationary points that are not global solutions and SAA is implemented using a general nonlinear prog...
Leveraging the current generation of quantum devices to solve optimization problems practical interest necessitates development hybrid quantum-classical (HQC) solution approaches. In this paper, a multi-cut Benders decomposition (BD) approach that exploits multiple feasible solutions master problem (MP) generate valid cuts is adapted, so as be used an HQC solver for general mixed-integer linear...
An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves multiperiod decisions (portfolio rebalancing) and deals with the usual uncertainty of investment returns and future liabilities. Therefore it is well-suited to a stochastic programming approach. A stochastic dominance concept is applied to measure (...
In this paper we discuss statistical properties and rates of convergence of the Stochastic Dual Dynamic Programming (SDDP) method applied to multistage linear stochastic programming problems. We assume that the underline data process is stagewise independent and consider the framework where at first a random sample from the original (true) distribution is generated and consequently the SDDP alg...
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