IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

On solving two stage stochastic linear problems by using a new approach, Cluster Benders Decomposition

  • Aranburu Laka, Larraitz
  • Escudero Bueno, Laureano F.
  • Garín Martín, María Araceli
  • Pérez Sainz de Rozas, Gloria
Registered author(s):

    The optimization of stochastic linear problems, via scenario analysis, based on Benders decomposition requires to appending feasibility and/or optimality cuts to the master problem until the iterative procedure reaches the optimal solution. The cuts are identified by solving the auxiliary submodels attached to the scenarios. In this work, we propose a so-called scenario cluster decomposition approach for dealing with the feasibility cut identification in the Benders method for solving large-scale two stage stochastic linear problems. The scenario tree is decomposed into a set of scenario clusters and tighter feasibility cuts are obtained by solving the auxiliary submodel for each cluster instead of each individual scenario. Then, this scenario cluster based scheme allows us to define tighter feasibility cuts that yield feasible second stage decisions in reasonable time consuming. Some computational experience by using the free software COIN-OR is reported to show the favorable performance of the new approach over traditional Benders decomposition.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://hdl.handle.net/10810/5565
    Download Restriction: no

    Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 2010-08.

    as
    in new window

    Length:
    Date of creation: Nov 2010
    Date of revision:
    Handle: RePEc:ehu:biltok:201008
    Contact details of provider: Postal: Avda. Lehendakari, Aguirre, 83, 48015 Bilbao
    Phone: + 34 94 601 3740
    Fax: + 34 94 601 4935
    Web page: http://www.ea3.ehu.esEmail:


    More information through EDIRC

    Order Information: Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
    Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ehu:biltok:201008. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alcira Macías)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.