Journal
OPERATIONS RESEARCH
Volume -, Issue -, Pages -Publisher
INFORMS
DOI: 10.1287/opre.2022.2366
Keywords
multistage stochastic mixed integer programming; decision rules; Lagrangian dual; two-stage approximation; sampling
Funding
- Natural Sciences and Engineering Research Council of Canada [RGPIN-2018-04984]
- National Science Foundation [CMMI-1634597]
- Department of Energy, Office of Science, Office of Advanced Scientific Computing Research, Applied Mathematics [DE-AC02-06CH113]
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This study introduces Lagrangian dual decision rules (LDDRs) for multistage stochastic mixed-integer programming (MSMIP), which overcome the difficulty of applying decision rules to problems with integer decisions. Two new bounding techniques based on stagewise and nonanticipative Lagrangian duals are proposed, and their effectiveness is demonstrated through numerical experiments.
Multistage stochastic programs can be approximated by restricting policies to follow decision rules. Directly applying this idea to problems with integer decisions is difficult because of the need for decision rules that lead to integral decisions. In this work, we introduce Lagrangian dual decision rules (LDDRs) for multistage stochastic mixed-integer programming (MSMIP), which overcome this difficulty by applying decision rules in a Lagrangian dual of the MSMIP. We propose two new bounding techniques based on stagewise (SW) and nonanticipative (NA) Lagrangian duals, where the Lagrangian multiplier policies are restricted by LDDRs. We demonstrate how the solutions from these duals can be used to drive primal policies. Our proposal requires fewer assumptions than most existing MSMIP methods. We compare the theoretical strength of the restricted duals and show that the restricted NA dual can provide relaxation bounds at least as good as the ones obtained by the restricted SW dual. In our numerical study on two problem classes, one traditional and one novel, we observe that the proposed LDDR approaches yield significant optimality-gap reductions compared with existing general-purpose bounding methods for MSMIP problems.
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