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Author : Diana Schadl Yakowitz
Release : 1991
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Two-stage Stochastic Linear Programming: Stochastic Decomposition Approaches (PHD). by : Diana Schadl Yakowitz
Download or read book Two-stage Stochastic Linear Programming: Stochastic Decomposition Approaches (PHD). written by Diana Schadl Yakowitz. This book was released on 1991. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Julia L. Higle
Release : 2013-11-27
Genre : Mathematics
Kind : eBook
Book Rating : 158/5 ( reviews)
Book Synopsis Stochastic Decomposition by : Julia L. Higle
Download or read book Stochastic Decomposition written by Julia L. Higle. This book was released on 2013-11-27. Available in PDF, EPUB and Kindle. Book excerpt: Motivation Stochastic Linear Programming with recourse represents one of the more widely applicable models for incorporating uncertainty within in which the SLP optimization models. There are several arenas model is appropriate, and such models have found applications in air line yield management, capacity planning, electric power generation planning, financial planning, logistics, telecommunications network planning, and many more. In some of these applications, modelers represent uncertainty in terms of only a few seenarios and formulate a large scale linear program which is then solved using LP software. However, there are many applications, such as the telecommunications planning problem discussed in this book, where a handful of seenarios do not capture variability well enough to provide a reasonable model of the actual decision-making problem. Problems of this type easily exceed the capabilities of LP software by several orders of magnitude. Their solution requires the use of algorithmic methods that exploit the structure of the SLP model in a manner that will accommodate large scale applications.
Author : Christian Küchler
Release : 2010-05-30
Genre : Mathematics
Kind : eBook
Book Rating : 994/5 ( reviews)
Book Synopsis Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming by : Christian Küchler
Download or read book Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming written by Christian Küchler. This book was released on 2010-05-30. Available in PDF, EPUB and Kindle. Book excerpt: Christian Küchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees.
Author : Janos Mayer
Release : 2022-04-19
Genre : Computers
Kind : eBook
Book Rating : 694/5 ( reviews)
Book Synopsis Stochastic Linear Programming Algorithms by : Janos Mayer
Download or read book Stochastic Linear Programming Algorithms written by Janos Mayer. This book was released on 2022-04-19. Available in PDF, EPUB and Kindle. Book excerpt: A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches. The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems. The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.
Author : Uwe Gotzes
Release : 2009-07-28
Genre : Computers
Kind : eBook
Book Rating : 431/5 ( reviews)
Book Synopsis Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming by : Uwe Gotzes
Download or read book Decision Making with Dominance Constraints in Two-Stage Stochastic Integer Programming written by Uwe Gotzes. This book was released on 2009-07-28. Available in PDF, EPUB and Kindle. Book excerpt: Uwe Gotzes analyzes an approach to account for risk aversion in two-stage models based upon partial orders on the set of real random variables. He illustrates the superiority of the proposed decomposition method over standard solvers for example with numerical experiments with instances from energy investment.
