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Subtree decomposition for multistage stochastic programs

Authors: Shane Dye

Published in: Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005)

Abstract

A class of algorithms for solving multistage stochastic recourse problems is described. The scenario tree is decomposed using a covering collection of subtrees. The approach is illustrated with two examples: adapting the diagonal quadratic approximation algorithm and adapting nested Bender's decomposition. The approach leads to a class of methods based on the subtree cover chosen (including the original implementation of the algorithm adapted). This approach increases flexibility in the size, number and structure of subproblems for multistage stochastic programming decomposition methods.

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Shane Dye. Subtree decomposition for multistage stochastic programs. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-3, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)

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@InProceedings{dye:DagSemProc.05031.28,
  author =	{Dye, Shane},
  title =	{{Subtree decomposition for multistage stochastic programs}},
  booktitle =	{Algorithms for Optimization with Incomplete Information},
  pages =	{1--3},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{5031},
  editor =	{Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.28},
  URN =		{urn:nbn:de:0030-drops-562},
  doi =		{10.4230/DagSemProc.05031.28},
  annote =	{Keywords: Stochastic programming , scenario tree , decomposition}
}

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Subtree decomposition for multistage stochastic programs

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