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Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
INFORMS Journal on Computing, 2021Stochastic decomposition (SD) has been a computationally effective approach to solve large-scale stochastic programming (SP) problems arising in practical applications. By using incremental sampling, this approach is designed to discover an appropriate sample size for a given SP instance, thus precluding the need for either scenario reduction or ...
Harsha Gangammanavar +2 more
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An ADMM algorithm for two-stage stochastic programming problems
Annals of Operations Research, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sebastián Arpón +2 more
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Deviation Measures in Linear Two-Stage Stochastic Programming
Mathematical Methods of Operations Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Improving aggregation bounds for two-stage stochastic programs
Operations Research Letters, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charles H. Rosa, Samer Takriti
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Two Stage Stochastic Linear Programs
1996Over the past several decades, linear programming (LP) has established itself as one of the most fundamental tools for planning. Its applications have become routine in several disciplines including those within engineering, business, economics, environmental studies and many others.
Julia L. Higle, Suvrajeet Sen
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Limited recourse in two-stage stochastic linear programs
Journal of Information and Optimization Sciences, 2003In several real-world applications, modelled by two-stage stochastic problems, first and second-stage decisions (or some of their components) represent identical variables of the problem that is modelled. In these cases an appropriate solution of the problem might require that the second-stage decisions do not differ substantially from the ...
P. BERALDI +3 more
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Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity
Operations Research, 2018In this paper, we develop a risk-averse two-stage stochastic program (RTSP) that explicitly incorporates the distributional ambiguity covering both discrete and continuous distributions. We formulate RTSP from the perspective of distributional robustness by hedging against the worst-case distribution within an ambiguity set and considering the ...
Ruiwei Jiang, Yongpei Guan
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Formulating Two-Stage Stochastic Programs for Interior Point Methods
Operations Research, 1991This paper describes an approach for modeling two-stage stochastic programs that yields a form suitable for interior point algorithms. A staircase constraint structure is created by replacing first stage variables with sparse “split variables” in conjunction with side-constraints. Dense columns are thereby eliminated.
Irvin J. Lustig +2 more
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A two-stage stochastic programming model for electric energy producers
Computers & Operations Research, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Patrizia Beraldi +2 more
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Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
Mathematics of Operations Research, 1991We present a cutting plane algorithm for two-stage stochastic linear programs with recourse. Motivated by Benders' decomposition, our method uses randomly generated observations of random variables to construct statistical estimates of supports of the objective function.
Julia L. Higle, Suvrajeet Sen
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