Stage- and scenario-wise Fenchel decomposition for stochastic mixed 0-1 programs with special structure

DOI10.1016/J.COR.2014.12.011MaRDI QIDQ337541zbMATH OpenOpenAlexFDO

Authors Eric Beier, Saravanan Venkatachalam, Luca Corolli, Lewis Ntaimo

Publication date 10 November 2016

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2014.12.011

zbMATH Keywords

integer programmingstochastic programmingscenario decompositionFD cutsspecial structure

Mathematics Subject Classification ID

Stochastic programming (90C15) Mixed integer programming (90C11)

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Cites work

• scientific article; zbMATH DE number 1416629 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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• Dual decomposition in stochastic integer programming
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• Fenchel decomposition for stochastic mixed-integer programming
• Generating Fenchel Cutting Planes for Knapsack Polyhedra
• On the Convergence of Fenchel Cutting Planes in Mixed-Integer Programming
• Partitioning procedures for solving mixed-variables programming problems
• Progressive hedging as a meta-heuristic applied to stochastic lot-sizing
• Proximity control in bundle methods for convex nondifferentiable minimization
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Solving \(0/1\) integer programs with enumeration cutting planes
• Solving capacitated facility location problems by Fenchel cutting planes
• Solving linear programming relaxations associated with Lagrangean relaxations by Fenchel cutting planes
• The Dynamic and Stochastic Knapsack Problem with Random Sized Items
• The dynamic and stochastic knapsack problem
• The integer \(L\)-shaped method for stochastic integer programs with complete recourse
• Valid inequalities for mixed integer linear programs

Cited in

(9)

• Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
• Two-stage absolute semi-deviation mean-risk stochastic programming: an application to the supply chain replenishment problem
• Integer set reduction for stochastic mixed-integer programming
• Scenario cluster decomposition of the Lagrangian dual in two-stage stochastic mixed 0-1 optimization
• Logic-Based Benders Decomposition and Binary Decision Diagram Based Approaches for Stochastic Distributed Operating Room Scheduling
• Lagrange dual bound computation for stochastic service network design
• A scenario decomposition algorithm for 0-1 stochastic programs
• Fenchel decomposition for stochastic mixed-integer programming
• Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design

Describes a project that uses

Uses Software

• CPLEX

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