Inexact stabilized Benders' decomposition approaches with application to chance-constrained problems with finite support

DOI10.1007/s10589-016-9851-zzbMath1357.90104OpenAlexW2400155314WikidataQ118165436 ScholiaQ118165436MaRDI QIDQ2374364

Welington de Oliveira, Antonio Frangioni, Wim van Ackooij

Publication date: 15 December 2016

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11568/794132

zbMATH Keywords

nonsmooth optimizationstabilizationmixed integer optimizationBenders' decompositionchance-constrained problemsinexact function computation

Mathematics Subject Classification ID

Convex programming (90C25) Mixed integer programming (90C11) Stochastic programming (90C15) Decomposition methods (49M27)

Related Items

Solving joint chance constrained problems using regularization and Benders' decomposition, On Generalized Surrogate Duality in Mixed-Integer Nonlinear Programming, A discussion of probability functions and constraints from a variational perspective, Probabilistic constrained optimization on flow networks, Uncontrolled inexact information within bundle methods, On the algorithmic solution of optimization problems subject to probabilistic/robust (probust) constraints, Derivatives of probability functions: unions of polyhedra and elliptical distributions, Eventual convexity of probability constraints with elliptical distributions, A distributionally ambiguous two-stage stochastic approach for investment in renewable generation, A simple version of bundle method with linear programming, A version of bundle trust region method with linear programming, A solution algorithm for chance-constrained problems with integer second-stage recourse decisions, Incremental Bundle Methods using Upper Models, A polyhedral study of the static probabilistic lot-sizing problem, Generalized gradients for probabilistic/robust (probust) constraints, Probabilistic Partial Set Covering with an Oracle for Chance Constraints, Large-scale unit commitment under uncertainty: an updated literature survey, On the Convexity of Level-sets of Probability Functions, Joint model of probabilistic-robust (probust) constraints applied to gas network optimization, A cutting-plane approach for large-scale capacitated multi-period facility location using a specialized interior-point method, Outer-approximation algorithms for nonsmooth convex MINLP problems, Exact algorithms based on Benders decomposition for multicommodity uncapacitated fixed-charge network design, A bundle method for nonsmooth DC programming with application to chance-constrained problems, Regularized decomposition of large scale block-structured robust optimization problems, A joint model of probabilistic/robust constraints for gas transport management in stationary networks, Benders decomposition with adaptive oracles for large scale optimization, A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs, Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints, On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems, Outer approximation for mixed-integer nonlinear robust optimization, Generalized differentiation of probability functions: parameter dependent sets given by intersections of convex sets and complements of convex sets, On generalized surrogate duality in mixed-integer nonlinear programming

Uses Software

• AlphaECP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Decomposition algorithm for large-scale two-stage unit-commitment
• Decomposition algorithms for two-stage chance-constrained programs
• Applying oracles of on-demand accuracy in two-stage stochastic programming -- a computational study
• Accelerating Benders stochastic decomposition for the optimization under uncertainty of the petroleum product supply chain
• A stabilized structured Dantzig-Wolfe decomposition method
• A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support
• Level bundle methods for constrained convex optimization with various oracles
• Convex proximal bundle methods in depth: a unified analysis for inexact oracles
• On interval-subgradient and no-good cuts
• Dual methods for probabilistic optimization problems.
• Analysis of decomposition algorithms with Benders cuts for \(p\)-median problem
• The complexity of optimizing over a simplex, hypercube or sphere: a short survey
• On the choice of explicit stabilizing terms in column generation
• Partitioning procedures for solving mixed-variables programming problems
• L-shaped decomposition of two-stage stochastic programs with integer recourse
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Logic-based Benders decomposition
• Local branching
• Bundle-type methods for inexact data
• A survey on Benders decomposition applied to fixed-charge network design problems
• Uncertain convex programs: randomized solutions and confidence levels
• Solving pseudo-convex mixed integer optimization problems by cutting plane techniques
• New variants of bundle methods
• Regularization methods for optimization problems with probabilistic constraints
• Bundle methods for sum-functions with ``easy components: applications to multicommodity network design
• Large-scale unit commitment under uncertainty
• Joint chance constrained programming for hydro reservoir management
• On generating maximal nondominated Benders cuts
• The unit commitment model with concave emissions costs: a hybrid Benders' decomposition with nonconvex master problems
• A stochastic programming approach for supply chain network design under uncertainty
• Decomposition with branch-and-cut approaches for two-stage stochastic mixed-integer programming
• Generalized Benders decomposition
• New approaches for optimizing over the semimetric polytope
• A note on the selection of Benders' cuts
• The application of generalized Benders decomposition to certain nonconcave programs
• Lectures on Modern Convex Optimization
• Fast inexact decomposition algorithms for large-scale separable convex optimization
• Level bundle methods for oracles with on-demand accuracy
• Risk-Averse Optimization in Two-Stage Stochastic Models: Computational Aspects and a Study
• Constrained Bundle Methods for Upper Inexact Oracles with Application to Joint Chance Constrained Energy Problems
• The Cutting-Plane Method for Solving Convex Programs
• Combinatorial Benders' Cuts for Mixed-Integer Linear Programming
• Multiterm polyhedral relaxations for nonconvex, quadratically constrained quadratic programs
• Encyclopedia of Optimization
• Accelerating Benders method using covering cut bundle generation
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Lectures on Stochastic Programming
• The B<scp>oxstep</scp> Method for Large-Scale Optimization
• Inexact Cuts in Benders Decomposition
• Dual Applications of Proximal Bundle Methods, Including Lagrangian Relaxation of Nonconvex Problems
• Generalized Bundle Methods
• Convergence Analysis of Deflected Conditional Approximate Subgradient Methods
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• Gradient Formulae for Nonlinear Probabilistic Constraints with Gaussian and Gaussian-Like Distributions
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Concavity and efficient points of discrete distributions in probabilistic programming.
• Benchmarking optimization software with performance profiles.