Generating Lagrangian Cuts Using Normalized Dual Problems in Multistage Stochastic Mixed-Integer Programming
References
- (2022) Stochastic Lipschitz dynamic programming. Math. Programming 191:755–793.Crossref, Google Scholar
- (1964) On the generalized transportation problem. Management Sci. 11(1):188–202.Link, Google Scholar
- (2026) Integer L-shaped and Lagrangian cuts revisited: A unified perspective. Oper. Res. Lett. 66:107427.Crossref, Google Scholar
- (1962) Partitioning procedures for solving mixed-variables programming problems. Numerische Mathematik 4(1):238–252.Crossref, Google Scholar
- (2017) Julia: A fresh approach to numerical computing. SIAM Rev. 59(1):65–98.Crossref, Google Scholar
- (2021) Refined cut selection for Benders decomposition: Applied to network capacity expansion problems. Math. Methods Oper. Res. 94:383–412.Crossref, Google Scholar
- (2010) Computing deep facet-defining disjunctive cuts for mixed-integer programming. Math. Programming 122:197–223.Crossref, Google Scholar
- (2022) On generating Lagrangian cuts for two-stage stochastic integer programs. INFORMS J. Comput. 34(4):2332–2349.Link, Google Scholar
- (2019) “Facet” separation with one linear program. Math. Programming 178:361–380.Crossref, Google Scholar
- (2006) A convex-analysis perspective on disjunctive cuts. Math. Programming 106:567–586.Crossref, Google Scholar
- (2024) On the ReLU Lagrangian cuts for stochastic mixed integer programming, Preprint, submitted November 9, https://arxiv.org/abs/2411.01229.Google Scholar
- (2021) SDDP.jl: A Julia package for stochastic dual dynamic programming. INFORMS J. Comput. 33(1):27–33.Link, Google Scholar
- (2017) JuMP: A modeling language for mathematical optimization. SIAM Rev. 59(2):295–320.Crossref, Google Scholar
- (2010) A note on the selection of Benders’ cuts. Math. Programming 124:175–182.Crossref, Google Scholar
- (2024) On approximating non-convex value functions in stochastic dual dynamic programming and related decomposition methods. PhD thesis, Karlsruher Institut für Technologie, Karlsruhe, Germany.Google Scholar
- (2022) Non-convex nested Benders decomposition. Math. Programming 196:987–1024.Crossref, Google Scholar
- (2024) On Lipschitz regularization and Lagrangian cuts in multistage stochastic mixed-integer linear programming. Preprint, submitted August 7, https://optimization-online.org/?p=27295.Google Scholar
- (2026) Generating Lagrangian cuts using normalized dual problems in multistage stochastic mixed-integer programming. https://doi.org/10.1287/ijoc.2024.1039.cd, https://github.com/INFORMSJoC/2024.1039.Google Scholar
- (2026) A novel Pareto-optimal cut selection strategy for Benders decomposition. Math. Programming Comput. 18:211–257.Crossref, Google Scholar
- (2025) Deepest cuts for Benders decomposition. Oper. Res. 73(5):2591–2609.Link, Google Scholar
- (1960) The cutting-plane method for solving convex programs. J. Soc. Indust. Appl. Math. 8(4):703–712.Crossref, Google Scholar
- (1995) New variants of bundle methods. Math. Programming 69(1–3):111–147.Crossref, Google Scholar
- (1981) Accelerating benders decomposition: Algorithmic enhancement and model selection criteria. Oper. Res. 29(3):464–484.Link, Google Scholar
- (2008) Practical enhancements to the Magnanti–Wong method. Oper. Res. Lett. 36:444–449.Crossref, Google Scholar
- (1991) Multi-stage stochastic optimization applied to energy planning. Math. Programming 52(1–3):359–375.Crossref, Google Scholar
- (2020) The Benders dual decomposition method. Oper. Res. 68(3):878–895.Link, Google Scholar
- (2022) A closest Benders cut selection scheme for accelerating the Benders decomposition algorithm. INFORMS J. Comput. 34(5):2804–2827.Link, Google Scholar
- (2024) Multistage stochastic facility location under facility disruption uncertainty. Preprint, submitted May 13, https://optimization-online.org/?p=26395.Google Scholar
- (2013) On generating maximal nondominated Benders cuts. Ann. Oper. Res. 210:57–72.Crossref, Google Scholar
- (2019) On the mathematics of energy system optimization. PhD thesis, TU München, Munich, Germany.Google Scholar
- (1989) Capacitated lot sizing with setup times. Management Sci. 35(3):353–366.Link, Google Scholar
- (2019) Stochastic dual dynamic integer programming. Math. Programming 175:461–502.Crossref, Google Scholar

