scientific article; zbMATH DE number 176392

MaRDI QIDQ4035542zbMATH OpenFDO

Authors George Dantzig, Gerd Infanger

Publication date 18 May 1993

zbMATH Keywords

Benders decompositiondynamic linear programexpansion planning of power systemsfinancial planningimportance samplinglarge-scale stochastic linear programsMonte Carlo methodsNumerical results

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Theory of organizations, manpower planning in operations research (90B70) Linear programming (90C05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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Cited in

(22)

• Enhancements of two-stage stochastic decomposition
• Convergent bounds for stochastic programs with expected value constraints
• Monte Carlo (importance) sampling within a Benders decomposition algorithm for stochastic linear programs
• Intelligent control and optimization under uncertainty with application to hydro power
• Modelling and analysis of multistage stochastic programming problems: A software environment
• Statistical approximations for stochastic linear programming problems
• Multi-stage stochastic linear programs for portfolio optimization
• A constraint generation scheme to probabilistic linear problems with an application to power system expansion planning
• Scalable parallel Benders decomposition for stochastic linear programming
• A polyhedral study of the static probabilistic lot-sizing problem
• A benders squared \((B^2)\) framework for infinite-horizon stochastic linear programs
• Aggregation and discretization in multistage stochastic programming
• Event tree based sampling
• The empirical behavior of sampling methods for stochastic programming
• Sequential importance sampling algorithms for dynamic stochastic programming
• A moment-matching method to generate arbitrage-free scenarios
• Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
• scientific article; zbMATH DE number 679873 (Why is no real title available?)
• Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms
• A preconditioning technique for Schur complement systems arising in stochastic optimization
• The Benders by batch algorithm: design and stabilization of an enhanced algorithm to solve multicut Benders reformulation of two-stage stochastic programs
• Logarithmic integral optimization via adaptive importance sampling based surrogation methods

Describes a project that uses

Uses Software

• MINOS

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