Decomposition methods for multi-horizon stochastic programming

DOI10.1007/S10287-024-00509-YMaRDI QIDQ6538817zbMATH OpenFDO

Authors Hongyu Zhang, Ignacio E. Grossmann, Asgeir Tomasgard

Publication date 14 May 2024

Published in Computational Management Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10287-024-00509-Y

zbMATH Keywords

benders decompositionLagrangean decompositionmulti-horizon stochastic programmingparallel computingprimal reductionstochastic programming

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

• Benders decomposition with adaptive oracles for large scale optimization
• Bounds in multi-horizon stochastic programs
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Introduction to stochastic programming.
• JuMP: a modeling language for mathematical optimization
• Multi-horizon stochastic programming
• Multistage stochastic programs with block-separable recourse
• On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
• Partitioning procedures for solving mixed-variables programming problems

Cited in

(4)

• Decomposition methods for monotone two-time-scale stochastic optimization problems
• Fifty years of power systems optimization
• Solving a multi-horizon stochastic facility location problem with capacity expansion
• Optimisation of transmission expansion decisions under uncertainty for a North Sea grid

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