Sampling-based decomposition algorithms (SBDAs) solve multi-stage stochastic programs. SBDAs can approximately solve problem instances with many time stages when the stochastic program exhibits interstage dependence in its right-hand side parameters by appropriately sharing cuts. We extend previous methods for sharing cuts in SBDAs, establishing new results under a novel interaction between a class of interstage dependency models, and how they appear in the stochastic program.
- Cutting planes
- Multi-stage stochastic linear programs
- Sampling-based decomposition
ASJC Scopus subject areas
- Management Science and Operations Research
- Industrial and Manufacturing Engineering
- Applied Mathematics