Videos

Algorithms for Solving Two-Stage Stochastic Optimization Problems

Presenter
August 9, 2016
Keywords:
  • Stochastic programming, stochastic optimization, Benders decomposition, L-shaped algorithm, Stochastic Gradient Descent, Trust Region Methods, Lagrangian Decomposition, Progressive Hedging
MSC:
  • 90C15
Abstract
Continuing the first lecture, we will introduce advanced features that improve the performance of algorithms for solving the Benders-based decomposition. Aggregating scenarios and regularization approaches will be a primary focus. We will also introduce a different "dual" decomposition technique that can be effective for solving two-stage stochastic programs, and discuss algorithmic approaches for solving the dual decomposition.