A scalable bounding method for multistage stochastic programs

DOI10.1137/16M1075594MaRDI QIDQ5348474zbMATH OpenOpenAlexWikidataFDO

Authors Burhaneddin Sandıkçı, Osman Y. Özaltın

Publication date 18 August 2017

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16m1075594

zbMATH Keywords

parallel computingstochastic programmingmixed-integermultistagebounding

Mathematics Subject Classification ID

Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Approximation methods and heuristics in mathematical programming (90C59) Combinatorial optimization (90C27) Stochastic programming (90C15) Mixed integer programming (90C11) Decomposition methods (49M27) Parallel algorithms in computer science (68W10)

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Cited in

(16)

• On the number of stages in multistage stochastic programs
• Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
• A Multistage Stochastic Programming Approach to the Dynamic and Stochastic VRPTW
• Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
• Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
• A method for solving multi-period stochastic optimization problem based on computer application and multi-cycle stochastic programming
• Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
• Stochastic dual dynamic integer programming
• Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
• A branch-and-bound method for multistage stochastic integer programs with risk objectives
• Building and solving large-scale stochastic programs on an affordable distributed computing system
• Optimization-Driven Scenario Grouping
• An embarrassingly parallel method for large-scale stochastic programs
• Multi-stage stochastic programming for demand response optimization
• A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
• COVID-19: data-driven optimal allocation of ventilator supply under uncertainty and risk

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