Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
From MaRDI portal
Publication:5139855
DOI10.1287/ijoc.2018.0885WikidataQ127494467 ScholiaQ127494467MaRDI QIDQ5139855
Alan L. Erera, Ilke Bakir, Brian Dandurand, Natashia Boland
Publication date: 11 December 2020
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2018.0885
90Cxx: Mathematical programming
Related Items
Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs, A Scalable Bounding Method for Multistage Stochastic Programs, On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies, Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design, Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs, Two-stage linear decision rules for multi-stage stochastic programming, COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk, Lagrange dual bound computation for stochastic service network design
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees. II: Parallelization
- Stage- and scenario-wise Fenchel decomposition for stochastic mixed 0-1 programs with special structure
- Scenario cluster decomposition of the Lagrangian dual in two-stage stochastic mixed 0-1 optimization
- Cluster Lagrangean decomposition in multistage stochastic optimization
- Bounds in multistage linear stochastic programming
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
- Stochastic optimization models in forest planning: a progressive hedging solution approach
- A comparative study of decomposition algorithms for stochastic combinatorial optimization
- On \(BFC-MSMIP\) strategies for scenario cluster partitioning, and twin node family branching selection and bounding for multistage stochastic mixed integer programming
- Stochastic integer programming: general models and algorithms
- A branch and bound method for stochastic global optimization
- Dual decomposition in stochastic integer programming
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- Progressive hedging and tabu search applied to mixed integer (0,1) multistage stochastic programming
- Stochastic programming with integer variables
- Dynamic capacity acquisition and assignment under uncertainty
- Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs
- An algorithmic framework for solving large-scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees
- Integration of progressive hedging and dual decomposition in stochastic integer programs
- Monotonic bounds in multistage mixed-integer stochastic programming
- A hierarchy of bounds for stochastic mixed-integer programs
- Convex approximations for a class of mixed-integer recourse models
- On parallelizing dual decomposition in stochastic integer programming
- A scenario decomposition algorithm for 0-1 stochastic programs
- A stochastic programming approach for supply chain network design under uncertainty
- Decomposition with branch-and-cut approaches for two-stage stochastic mixed-integer programming
- The million-variable ``march for stochastic combinatorial optimization
- Simple integer recourse models: convexity and convex approximations
- The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
- A stochastic integer programming model for incorporating day-ahead trading of electricity into hydro-thermal unit commitment
- On complexity of multistage stochastic programs
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- Bounds and Approximations for Multistage Stochastic Programs
- Optimizing the Societal Benefits of the Annual Influenza Vaccine: A Stochastic Programming Approach
- Introduction to Stochastic Programming
- The Value of Multistage Stochastic Programming in Capacity Planning Under Uncertainty
- Progressive hedging-based metaheuristics for stochastic network design
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Aggregation bounds in stochastic linear programming
- Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming
- Approximate Dynamic Programming
- A Scalable Bounding Method for Multistage Stochastic Programs
- An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse
- Strengthened Benders Cuts for Stochastic Integer Programs with Continuous Recourse
