Gr\"obner and Graver bases for calculating Opportunity Cost Matrices

Authors Yuchen Ge, Janosch Ortmann, Walter Rei

Publication date 12 March 2023

Stochastic programming (90C15) Integer programming (90C10) Applications of commutative algebra (e.g., to statistics, control theory, optimization, etc.) (13P25)

Abstract: Opportunity cost matrices are interesting in the context of scenario reduction. We provide new algorithms, based on ideas from algebraic geometry, to efficiently compute the opportunity cost matrix using computational algebraic geometry. We demonstrate the efficacy of our algorithms by computing opportunity cost matrices for two stochastic integer programs.

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