Article ID Journal Published Year Pages File Type
1142332 Operations Research Letters 2013 6 Pages PDF
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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Authors
, ,