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.