toggle visibility Search & Display Options

Select All    Deselect All
 |   | 
  Record Links
Author (up) Ramirez-Pico, C.; Moreno, E. doi  openurl
  Title Generalized Adaptive Partition-based Method for Two-Stage Stochastic Linear Programs with Fixed Recourse Type
  Year 2022 Publication Mathematical Programming Abbreviated Journal Math. Program.  
  Volume to appear Issue Pages  
  Abstract We present a method to solve two-stage stochastic linear programming problems with fixed recourse when the uncertainty space can have either discrete or continuous distributions. Given a partition of the uncertainty space, the method is addressed to solve a discrete problem with one scenario for each element of the partition (subregions of the uncertainty space). Fixing first-stage variables, we formulate a second-stage subproblem for each element, and exploiting information from the dual of these problems, we provide conditions that the partition must satisfy to obtain an optimal solution. These conditions provide guidance on how to refine the partition, iteratively approaching an optimal solution. The results from computational experiments show how the method automatically refines the partition of the uncertainty space in the regions of interest for the problem. Our algorithm is a generalization of the adaptive partition-based method presented by Song & Luedtke for discrete distributions, extending its applicability to more general cases.  
  Corporate Author Thesis  
  Publisher Place of Publication Editor  
  Language Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 0025-5610 ISBN Medium  
  Area Expedition Conference  
  Notes Approved  
  Call Number UAI @ eduardo.moreno @ Serial 1272  
Permanent link to this record
Select All    Deselect All
 |   | 

Save Citations:
Export Records: