Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142332 | Operations Research Letters | 2013 | 6 Pages |
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
Anderson Rodrigo de Queiroz, David P. Morton,