Solving two-stage stochastic programming problems with level decomposition

Csaba I. Fabian; Zoltan Szoke

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Solving two-stage stochastic programming problems with level decomposition

机译：Solving two-stage stochastic programming problems with level decomposition

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摘要

We propose a new variant of the two-stage recourse model. It can be used e.g., in managing resources in whose supply random interruptions may occur. Oil and natural gas are examples for such resources. Constraints in the resulting stochastic programming problems can be regarded as generalizations of integrated chance constraints. For the solution of such problems, we propose a new decomposition method that integrates a bundle-type convex programming method with the classic distribution approximation schemes. Feasibility and optimality issues are taken into consideration simultaneously, since we use a convex programming method suited for constrained optimization. This approach can also be applied to traditional two-stage problems whose recourse functions can be extended to the whole space in a computationally efficient way. Network recourse problems are an example for such problems. We report encouraging test results with the new method.

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来源
《Computational management science》 |2007年第4期|313-353|共41页
作者
Csaba I. Fabian; Zoltan Szoke;
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作者单位

Department of Operations Research, Lorand Eoetvoes University of Budapest, P.O. Box 120, Budapest 1518, Hungary;

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正文语种英语
中图分类应用数学;
关键词
stochastic recourse models; decomposition; successive approximation;

Solving two-stage stochastic programming problems with level decomposition

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