IDEAS home Printed from https://ideas.repec.org/r/inm/oropre/v33y1985i5p989-1007.html
   My bibliography  Save this item

Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Deyi Liu & Quoc Tran-Dinh, 2020. "An Inexact Interior-Point Lagrangian Decomposition Algorithm with Inexact Oracles," Journal of Optimization Theory and Applications, Springer, vol. 185(3), pages 903-926, June.
  2. Jacek Gondzio & Andreas Grothey, 2007. "Parallel interior-point solver for structured quadratic programs: Application to financial planning problems," Annals of Operations Research, Springer, vol. 152(1), pages 319-339, July.
  3. Unai Aldasoro & Laureano Escudero & María Merino & Juan Monge & Gloria Pérez, 2015. "On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed 0–1 problems under uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 703-742, October.
  4. de Queiroz, Anderson Rodrigo, 2016. "Stochastic hydro-thermal scheduling optimization: An overview," Renewable and Sustainable Energy Reviews, Elsevier, vol. 62(C), pages 382-395.
  5. N. Edirisinghe & E. Patterson, 2007. "Multi-period stochastic portfolio optimization: Block-separable decomposition," Annals of Operations Research, Springer, vol. 152(1), pages 367-394, July.
  6. Xiang Li & Asgeir Tomasgard & Paul Barton, 2012. "Decomposition strategy for the stochastic pooling problem," Journal of Global Optimization, Springer, vol. 54(4), pages 765-790, December.
  7. Eun, Joonyup & Kim, Sang-Phil & Yih, Yuehwern & Tiwari, Vikram, 2019. "Scheduling elective surgery patients considering time-dependent health urgency: Modeling and solution approaches," Omega, Elsevier, vol. 86(C), pages 137-153.
  8. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
  9. Oscar Dowson & Lea Kapelevich, 2021. "SDDP.jl : A Julia Package for Stochastic Dual Dynamic Programming," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 27-33, January.
  10. Michelle Bandarra & Vincent Guigues, 2021. "Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments," Computational Management Science, Springer, vol. 18(2), pages 125-148, June.
  11. Ketabchi, Saeed & Behboodi-Kahoo, Malihe, 2015. "Augmented Lagrangian method within L-shaped method for stochastic linear programs," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 12-20.
  12. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis.
  13. Li, Y.P. & Huang, G.H. & Chen, X., 2011. "Planning regional energy system in association with greenhouse gas mitigation under uncertainty," Applied Energy, Elsevier, vol. 88(3), pages 599-611, March.
  14. A. Tsoukalas & A. Mitsos, 2014. "Multivariate McCormick relaxations," Journal of Global Optimization, Springer, vol. 59(2), pages 633-662, July.
  15. Xiang Li & Asgeir Tomasgard & Paul I. Barton, 2011. "Nonconvex Generalized Benders Decomposition for Stochastic Separable Mixed-Integer Nonlinear Programs," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 425-454, December.
  16. Semih Atakan & Suvrajeet Sen, 2018. "A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs," Computational Management Science, Springer, vol. 15(3), pages 501-540, October.
  17. M.P. Nowak, 1996. "A Fast Descent Method for the Hydro Storage Subproblem in Power Generation," Working Papers wp96109, International Institute for Applied Systems Analysis.
  18. Lin, Q.G. & Huang, G.H. & Bass, B. & Qin, X.S., 2009. "IFTEM: An interval-fuzzy two-stage stochastic optimization model for regional energy systems planning under uncertainty," Energy Policy, Elsevier, vol. 37(3), pages 868-878, March.
  19. Soares, Murilo Pereira & Street, Alexandre & Valladão, Davi Michel, 2017. "On the solution variability reduction of Stochastic Dual Dynamic Programming applied to energy planning," European Journal of Operational Research, Elsevier, vol. 258(2), pages 743-760.
  20. Li, Y.P. & Huang, G.H. & Yang, Z.F. & Nie, S.L., 2008. "IFMP: Interval-fuzzy multistage programming for water resources management under uncertainty," Resources, Conservation & Recycling, Elsevier, vol. 52(5), pages 800-812.
  21. Martin N. Hjelmeland & Arild Helseth & Magnus Korpås, 2019. "Medium-Term Hydropower Scheduling with Variable Head under Inflow, Energy and Reserve Capacity Price Uncertainty," Energies, MDPI, vol. 12(1), pages 1-15, January.
  22. Xie, Fei & Huang, Yongxi, 2018. "A multistage stochastic programming model for a multi-period strategic expansion of biofuel supply chain under evolving uncertainties," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 111(C), pages 130-148.
  23. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  24. Fan, Wei & Machemehl, Randy, 2004. "A Multi-stage Monte Carlo Sampling Based Stochastic Programming Model for the Dynamic Vehicle Allocation Problem," 45th Annual Transportation Research Forum, Evanston, Illinois, March 21-23, 2004 208244, Transportation Research Forum.
  25. Kai Huang & Shabbir Ahmed, 2009. "The Value of Multistage Stochastic Programming in Capacity Planning Under Uncertainty," Operations Research, INFORMS, vol. 57(4), pages 893-904, August.
  26. Sandeep Rath & Kumar Rajaram, 2022. "Staff Planning for Hospitals with Implicit Cost Estimation and Stochastic Optimization," Production and Operations Management, Production and Operations Management Society, vol. 31(3), pages 1271-1289, March.
  27. Lijian Chen & Tito Homem-de-Mello, 2010. "Re-solving stochastic programming models for airline revenue management," Annals of Operations Research, Springer, vol. 177(1), pages 91-114, June.
  28. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
  29. Li, Y.P. & Huang, G.H. & Nie, S.L. & Chen, X., 2011. "A robust modeling approach for regional water management under multiple uncertainties," Agricultural Water Management, Elsevier, vol. 98(10), pages 1577-1588, August.
  30. Ankur Kulkarni & Uday Shanbhag, 2012. "Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms," Computational Optimization and Applications, Springer, vol. 51(1), pages 77-123, January.
  31. Wolf, Christian & Koberstein, Achim, 2013. "Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method," European Journal of Operational Research, Elsevier, vol. 230(1), pages 143-156.
  32. Emmanuel Fragnière & Jacek Gondzio & Robert Sarkissian & Jean-Philippe Vial, 2000. "A Structure-Exploiting Tool in Algebraic Modeling Languages," Management Science, INFORMS, vol. 46(8), pages 1145-1158, August.
  33. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
  34. Castro, Jordi & Escudero, Laureano F. & Monge, Juan F., 2023. "On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 268-285.
  35. Angelos Georghiou & Angelos Tsoukalas & Wolfram Wiesemann, 2019. "Robust Dual Dynamic Programming," Operations Research, INFORMS, vol. 67(3), pages 813-830, May.
  36. Sheng-I Chen & Delvinia Su, 2022. "A multi-stage stochastic programming model of lot-sizing and scheduling problems with machine eligibilities and sequence-dependent setups," Annals of Operations Research, Springer, vol. 311(1), pages 35-50, April.
  37. Marco Colombo & Andreas Grothey, 2013. "A decomposition-based crash-start for stochastic programming," Computational Optimization and Applications, Springer, vol. 55(2), pages 311-340, June.
  38. Li, Can & Conejo, Antonio J. & Liu, Peng & Omell, Benjamin P. & Siirola, John D. & Grossmann, Ignacio E., 2022. "Mixed-integer linear programming models and algorithms for generation and transmission expansion planning of power systems," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1071-1082.
  39. Fan, Wei, 2014. "Optimizing Strategic Allocation of Vehicles for One-Way Car-sharing Systems Under Demand Uncertainty," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 53(3).
  40. C.H. Rosa & A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs," Working Papers wp94125, International Institute for Applied Systems Analysis.
  41. J. Gondzio, 1994. "Preconditioned Conjugate Gradients in an Interior Point Method for Two-stage Stochastic Programming," Working Papers wp94130, International Institute for Applied Systems Analysis.
  42. Li, Y.P. & Huang, G.H. & Nie, S.L., 2009. "A robust interval-based minimax-regret analysis approach for the identification of optimal water-resources-allocation strategies under uncertainty," Resources, Conservation & Recycling, Elsevier, vol. 54(2), pages 86-96.
  43. Gyana R. Parija & Shabbir Ahmed & Alan J. King, 2004. "On Bridging the Gap Between Stochastic Integer Programming and MIP Solver Technologies," INFORMS Journal on Computing, INFORMS, vol. 16(1), pages 73-83, February.
  44. Escudero, Laureano F. & Monge, Juan F. & Rodríguez-Chía, Antonio M., 2020. "On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 262-279.
  45. Postek, Krzysztof & Romeijnders, Ward & den Hertog, Dick & van der Vlerk, Maartne H., 2016. "Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems under Mean-MAD Information," Discussion Paper 2016-039, Tilburg University, Center for Economic Research.
  46. Torres-Rincón, Samuel & Sánchez-Silva, Mauricio & Bastidas-Arteaga, Emilio, 2021. "A multistage stochastic program for the design and management of flexible infrastructure networks," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
  47. Peter Kall & János Mayer, 2006. "Some insights into the solution algorithms for SLP problems," Annals of Operations Research, Springer, vol. 142(1), pages 147-164, February.
  48. Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
  49. Borodin, Valeria & Bourtembourg, Jean & Hnaien, Faicel & Labadie, Nacima, 2015. "A multi-step rolled forward chance-constrained model and a proactive dynamic approach for the wheat crop quality control problem," European Journal of Operational Research, Elsevier, vol. 246(2), pages 631-640.
  50. Giovanni Pantuso & Trine K. Boomsma, 2020. "On the number of stages in multistage stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 581-603, September.
  51. Wim Ackooij & Welington Oliveira & Yongjia Song, 2019. "On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems," Computational Optimization and Applications, Springer, vol. 74(1), pages 1-42, September.
  52. Entriken, Robert & Infanger, Gerd, 1990. "5.2 Decomposition and importance sampling for stochastic linear models," Energy, Elsevier, vol. 15(7), pages 645-659.
  53. F. Wu & H. Li & L. Chu & D. Sculli & K. Gao, 2009. "An approach to the valuation and decision of ERP investment projects based on real options," Annals of Operations Research, Springer, vol. 168(1), pages 181-203, April.
  54. S. Ayca Erdogan & Brian Denton, 2013. "Dynamic Appointment Scheduling of a Stochastic Server with Uncertain Demand," INFORMS Journal on Computing, INFORMS, vol. 25(1), pages 116-132, February.
  55. Shapiro, Alexander, 2021. "Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 288(1), pages 1-13.
  56. Pieter Klaassen, 1998. "Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis," Management Science, INFORMS, vol. 44(1), pages 31-48, January.
  57. Klaassen, Pieter, 1997. "Solving stochastic programming models for asset/liability management using iterative disaggregation," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  58. David P. Morton, 1998. "Stopping Rules for a Class of Sampling-Based Stochastic Programming Algorithms," Operations Research, INFORMS, vol. 46(5), pages 710-718, October.
  59. Shabbir Ahmed & Nikolaos V. Sahinidis, 2003. "An Approximation Scheme for Stochastic Integer Programs Arising in Capacity Expansion," Operations Research, INFORMS, vol. 51(3), pages 461-471, June.
  60. Rahmaniani, Ragheb & Crainic, Teodor Gabriel & Gendreau, Michel & Rei, Walter, 2017. "The Benders decomposition algorithm: A literature review," European Journal of Operational Research, Elsevier, vol. 259(3), pages 801-817.
  61. Y. Li & G. Huang & S. Nie, 2009. "Water Resources Management and Planning under Uncertainty: an Inexact Multistage Joint-Probabilistic Programming Method," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 23(12), pages 2515-2538, September.
  62. L. F. Escudero & J. F. Monge & D. Romero Morales & J. Wang, 2013. "Expected Future Value Decomposition Based Bid Price Generation for Large-Scale Network Revenue Management," Transportation Science, INFORMS, vol. 47(2), pages 181-197, May.
  63. Guigues, Vincent & Juditsky, Anatoli & Nemirovski, Arkadi, 2021. "Constant Depth Decision Rules for multistage optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 295(1), pages 223-232.
  64. Pablo Salas, 2013. "Literature Review of Energy-Economics Models, Regarding Technological Change and Uncertainty," 4CMR Working Paper Series 003, University of Cambridge, Department of Land Economy, Cambridge Centre for Climate Change Mitigation Research.
  65. C A Poojari & C Lucas & G Mitra, 2008. "Robust solutions and risk measures for a supply chain planning problem under uncertainty," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(1), pages 2-12, January.
  66. Maqsood, Imran & Huang, Guo H. & Scott Yeomans, Julian, 2005. "An interval-parameter fuzzy two-stage stochastic program for water resources management under uncertainty," European Journal of Operational Research, Elsevier, vol. 167(1), pages 208-225, November.
  67. Park, Jangho & Bayraksan, Güzin, 2023. "A multistage distributionally robust optimization approach to water allocation under climate uncertainty," European Journal of Operational Research, Elsevier, vol. 306(2), pages 849-871.
  68. Vincent Guigues & Renato D. C. Monteiro, 2021. "Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs," Journal of Optimization Theory and Applications, Springer, vol. 189(2), pages 513-559, May.
  69. Postek, Krzysztof & Romeijnders, Ward & den Hertog, Dick & van der Vlerk, Maartne H., 2016. "Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems under Mean-MAD Information," Other publications TiSEM a03f895f-b941-41a9-84e0-b, Tilburg University, School of Economics and Management.
  70. Dai, Z.Y. & Li, Y.P., 2013. "A multistage irrigation water allocation model for agricultural land-use planning under uncertainty," Agricultural Water Management, Elsevier, vol. 129(C), pages 69-79.
  71. LOUTE, Etienne, 2003. "Gaussian elimination as a computational paradigm," LIDAM Discussion Papers CORE 2003059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  72. Li, Y.P. & Huang, G.H. & Zhang, N. & Nie, S.L., 2011. "An inexact-stochastic with recourse model for developing regional economic-ecological sustainability under uncertainty," Ecological Modelling, Elsevier, vol. 222(2), pages 370-379.
  73. W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
  74. Liu, Rui Peng & Shapiro, Alexander, 2020. "Risk neutral reformulation approach to risk averse stochastic programming," European Journal of Operational Research, Elsevier, vol. 286(1), pages 21-31.
  75. Daniel R. Jiang & Warren B. Powell, 2015. "An Approximate Dynamic Programming Algorithm for Monotone Value Functions," Operations Research, INFORMS, vol. 63(6), pages 1489-1511, December.
  76. Karabuk, Suleyman & Manzour, Hasan, 2019. "A multi-stage stochastic program for evacuation management under tornado track uncertainty," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 124(C), pages 128-151.
  77. Aldasoro, Unai & Escudero, Laureano F. & Merino, María & Pérez, Gloria, 2017. "A parallel Branch-and-Fix Coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0–1 problems," European Journal of Operational Research, Elsevier, vol. 258(2), pages 590-606.
  78. Kazemi Zanjani, Masoumeh & Nourelfath, Mustapha, 2014. "Integrated spare parts logistics and operations planning for maintenance service providers," International Journal of Production Economics, Elsevier, vol. 158(C), pages 44-53.
  79. Vincent Guigues, 2014. "SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning," Computational Optimization and Applications, Springer, vol. 57(1), pages 167-203, January.
  80. Lara, Cristiana L. & Mallapragada, Dharik S. & Papageorgiou, Dimitri J. & Venkatesh, Aranya & Grossmann, Ignacio E., 2018. "Deterministic electric power infrastructure planning: Mixed-integer programming model and nested decomposition algorithm," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1037-1054.
  81. Diana Barro & Elio Canestrelli, 2016. "Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 711-742, July.
  82. Julia Higle & Suvrajeet Sen, 2006. "Multistage stochastic convex programs: Duality and its implications," Annals of Operations Research, Springer, vol. 142(1), pages 129-146, February.
  83. Q. Lin & G. Huang, 2011. "Interval-fuzzy stochastic optimization for regional energy systems planning and greenhouse-gas emission management under uncertainty—a case study for the Province of Ontario, Canada," Climatic Change, Springer, vol. 104(2), pages 353-378, January.
  84. Andre Luiz Diniz & Maria Elvira P. Maceira & Cesar Luis V. Vasconcellos & Debora Dias J. Penna, 2020. "A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning," Annals of Operations Research, Springer, vol. 292(2), pages 649-681, September.
  85. Robert Fourer & Leo Lopes, 2006. "A management system for decompositions in stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 99-118, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.