Scenario analysis via bundle decomposition

DOI10.1007/BF02031699zbMath0838.90088OpenAlexW2060281378MaRDI QIDQ1896443

Bock Jin Chun, Stephen M. Robinson

Publication date: 27 August 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02031699

zbMATH Keywords

production planningtrust-region methodprogressive hedging algorithmscenario analysisbundle decomposition method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Production models (90B30)

Related Items (6)

Parallelizable preprocessing method for multistage stochastic programming problems ⋮ Solving dynamic stochastic economic models by mathematical programming decomposition methods ⋮ Decomposition methods in stochastic programming ⋮ A Decomposition Algorithm for Two-Stage Stochastic Programs with Nonconvex Recourse Functions ⋮ On the implementation of a log-barrier progressive hedging method for multistage stochastic programs ⋮ A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming

Uses Software

• MINOS

Cites Work

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• Bundle-based decomposition: Conditions for convergence
• Extended scenario analysis
• Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
• Parallel decomposition of multistage stochastic programming problems
• Inequalities for Stochastic Linear Programming Problems
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Decomposition and Nondifferentiable Optimization with the Projective Algorithm
• A Version of the Bundle Idea for Minimizing a Nonsmooth Function: Conceptual Idea, Convergence Analysis, Numerical Results
• NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
• Convex Analysis

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