Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

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Article ID: iaor20001806
Country: United States
Volume: 102
Issue: 3
Start Page Number: 497
End Page Number: 524
Publication Date: Sep 1999
Journal: Journal of Optimization Theory and Applications
Authors: ,
Keywords: programming: probabilistic
Abstract:

We propose an algorithm for multistage stochastic linear programs with recourse where random quantities in different stages are independent. The algorithm approximates successively expected recourse functions by building up valid cutting planes to support these functions from below. In each iteration, for the expected recourse function in each stage, one cutting plane is generated using the dual extreme points of the next-stage problem that have been found so far. We prove that the algorithm is convergent with probability one.

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