Optimization-Driven Scenario Grouping

Published Online:https://doi.org/10.1287/ijoc.2019.0924

References

  • Ahmed S (2013) A scenario decomposition algorithm for 0–1 stochastic programs. Oper. Res. Lett. 41(6):565–569.CrossrefGoogle Scholar
  • Ahmed S, Lutedke J, Song Y, Xie W (2017) Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs. Math. Programming 162(1–2):51–81.CrossrefGoogle Scholar
  • Ahmed S, Garcia R, Kong N, Ntaimo L, Parija G, Qiu F, Sen S (2015) SIPLIB: A stochastic integer programming test library. Accessed November 29, 2019, http://www2.isye.gatech.edu/∼sahmed/siplib/.Google Scholar
  • Alonso-Ayuso A, Escudero L, Garín A, Ortuño M, Perez G (2003) An approach for strategic supply chain planning under uncertainty based on stochastic 0–1 programming. J. Global Optim. 26(1):97–124.Google Scholar
  • Angulo G, Ahmed S, Dey S (2016) Improving the integer L-shaped method. INFORMS J. Comput. 28(3):483–499.Google Scholar
  • Bakir I, Boland N, Dandurand B, Erera A (2016) Scenario set partition dual bounds for multistage stochastic programming: A hierarchy of bounds and a partition sampling approach. Working paper, Georgia Institute of Technology, Atlanta.Google Scholar
  • Barrows C, Bloom A, Ehlen A, Jorgenson J, Krishnamurthy D, Lau J, McBennett B, et al.. (2018) The IEEE reliability test system: A proposed 2018 update. Working paper, National Renewable Energy Laboratory, Golden, CO.Google Scholar
  • Birge JR (1982) The value of the stochastic solution in stochastic linear programs with fixed recourse. Math. Programming 24(1):314–325.CrossrefGoogle Scholar
  • Carøe CC, Schultz R (1999) Dual decomposition in stochastic integer programming. Oper. Res. Lett. 24(1–2):37–45.CrossrefGoogle Scholar
  • Crainic TG, Hewitt M, Rei W (2014) Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design. Comput. Oper. Res. 43(March):90–99.CrossrefGoogle Scholar
  • Deng Y, Ahmed S, Shen S (2018) Parallel scenario decomposition of risk-averse 0-1 stochastic programs. INFORMS J. Comput. 30(1):90–105.Google Scholar
  • Dey SS, Molinaro M, Wang Q (2018) Analysis of sparse cutting planes for sparse milps with applications to stochastic MILPs. Math. Oper. Res. 43(1):304–332.Google Scholar
  • Gade D, Hackebeil G, Ryan S, Watson JP, Wets RJ-B, Woodruff D (2016) Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs. Math. Programming 157(1):47–67.Google Scholar
  • Garey MR, Johnson DS (1979) Computers and Intractability: A Guide to the Theory of NP-Completeness (W. H. Freeman & Co., New York).Google Scholar
  • Knueven B, Ostrowski J, Watson JP (2017) A novel matching formulation for startup costs in unit commitment. Working paper, Sandia National Laboratories, Albuquerque, NM.Google Scholar
  • Maggioni F, Allevi E, Bertocchi M (2016) Monotonic bounds in multistage mixed-integer stochastic programming. Comput. Management Sci. 13(3):423–457.CrossrefGoogle Scholar
  • Ntaimo L, Sen S (2005) The million-variable march for stochastic combinatorial optimization. J. Global Optim. 32(3):385–400.Google Scholar
  • Rockafellar RT, Wets R-JB (1991) Scenario and policy aggregation in optimization under uncertainty. Math. Oper. Res. 16(1):119–147.LinkGoogle Scholar
  • Ryan K, Rajan D, Ahmed S (2016) Scenario decomposition for 0-1 stochastic programs: Improvements and asynchronous implementation. 2016 IEEE Internat. Parallel Distributed Processing Sympos. Workshops (IEEE, Piscataway, NJ), 722–729.Google Scholar
  • Sandikçi B, Özaltin O (2017) A scalable bounding method for multistage stochastic programs. SIAM J. Optim. 27(3):1772–1800.Google Scholar
  • Sandikçi B, Kong N, Schaefer AJ (2012) A hierarchy of bounds for stochastic mixed-integer programs. Math. Programming 138(1):253–272.Google Scholar
  • Shapiro A, Dentcheva D, Ruszczynski A (2014) Lectures on Stochastic Programming: Modeling and Theory, 2nd ed. (SIAM, Philadelphia).CrossrefGoogle Scholar
  • Song Y, Luedtke J (2015) An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse. SIAM J. Optim. 25(3):1344–1367.CrossrefGoogle Scholar
  • Watson JP, Woodruff DL (2011) Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. Comput. Management Sci. 8(4):355–370.CrossrefGoogle Scholar
  • Zenarosa GL, Prokopyev OA, Schaefer AJ (2014) Scenario-tree decomposition: Bounds for multistage stochastic mixed-integer programs. Working paper, University of Pittsburgh, Pittsburgh.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.