Finite master programs in regularized stochastic decomposition
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In a series of papers the authors have suggested a stochastic decomposition method for the approximate solution of stochastic linear programs with recourse. Since the approximate master program is a piecewise linear function, the algorithm leads to the growth of the master program's dimension without bounds. In this paper the authors suggest to add to the master program a quadratic regularizing term. Then the master program can be limited to a finite number of cuts (at most to \(n_1+ 3\) cuts, where \(n_1\) is the number of first stage decision variables), while ensuring accumulation at an optimal solution.
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Cited in
(30)- Enhancements of two-stage stochastic decomposition
- A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions
- Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
- A regularized stochastic decomposition algorithm for two-stage stochastic linear programs
- Duality and statistical tests of optimality for two stage stochastic programs
- An SQP-type method and its application in stochastic programs
- Epigraphical nesting: A unifying theory for the convergence of algorithms
- Strong convexity in stochastic programs with complete recourse
- Simulation-based confidence bounds for two-stage stochastic programs
- Predictive stochastic programming
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- Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
- Increasing reliability of price signals in long term energy management problems
- Active set-based inexact proximal bundle algorithm for stochastic quadratic programming
- The stochastic conjugate subgradient algorithm for kernel support vector machines
- Divide to conquer: decomposition methods for energy optimization
- Decomposition algorithms for computational stochastic mixed-integer programming: a survey
- Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization
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