Sharing cuts under aggregated forecasts when decomposing multi-stage stochastic programs

Anderson Rodrigo De Queiroz*, David P. Morton

*Corresponding author for this work

Research output: Contribution to journalArticle

23 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)311-316
Number of pages6
JournalOperations Research Letters
Volume41
Issue number3
DOIs
StatePublished - May 1 2013

Keywords

  • Cutting planes
  • Multi-stage stochastic linear programs
  • Sampling-based decomposition

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics

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