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

boundingmixed-integermultistageparallel computingstochastic programming

Mathematics Subject Classification ID

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

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Cited in

(18)

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

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