Parallel decomposition of large-scale stochastic nonlinear programs

Many practical decision problems involve both nonlinear relationships and uncertainties. The resulting stochastic nonlinear programs become quite difficult to solve as the number of possible scenarios increases. In this paper, the authors provide a decomposition method for problems in which nonlinear constraints appear within periods. They also show how the method extends to lower bounding refinements of the set of scenarios when the random data are independent from period to period. The authors then apply the method to a stochastic model of the U.S. economy based on the Global 2100 method developed by Manne and Richels.