Journal
INFORMS JOURNAL ON COMPUTING
Volume 30, Issue 1, Pages 57-70Publisher
INFORMS
DOI: 10.1287/ijoc.2017.0765
Keywords
stochastic programming; scenario reduction; level decomposition
Categories
Funding
- National Science Foundation [CMMI 1562245]
- Directorate For Engineering
- Div Of Civil, Mechanical, & Manufact Inn [1562245] Funding Source: National Science Foundation
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We present a computational study of several strategies to solve two-stage stochastic linear programs by integrating the adaptive partition-based approach with level decomposition. A partition-based formulation is a relaxation of the original stochastic program, obtained by aggregating variables and constraints according to a scenario partition. Partition refinements are guided by the optimal second-stage dual vectors computed at certain first-stage solutions. The proposed approaches rely on the level decomposition with on-demand accuracy to dynamically adjust partitions until an optimal solution is found. Numerical experiments on a large set of test problems including instances with up to one hundred thousand scenarios show the effectiveness of the proposed approaches.
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