Optimal purchasing strategies for large power consumers by two-stage stochastic programming with linear partial information

2014 ◽  
Author(s):  
Xue Wang ◽  
Xinshun Ma
Keyword(s):  
Stochastic Programming ◽  
Partial Information ◽  
Two Stage ◽  
Large Power ◽  
Linear Partial Information

scholarly journals A column-and-constraint generation algorithm for two-stage stochastic programming problems

Top ◽  
2021 ◽  
Author(s):  
Denise D. Tönissen ◽  
Joachim J. Arts ◽  
Zuo-Jun Max Shen
Keyword(s):  
Stochastic Programming ◽  
Benders Decomposition ◽  
Equivalent Model ◽  
Computational Time ◽  
Two Stage ◽  
Generation Algorithm ◽  
Constraint Generation ◽  
Deterministic Equivalent ◽  
Location Routing ◽  
Relative Tolerance

AbstractThis paper presents a column-and-constraint generation algorithm for two-stage stochastic programming problems. A distinctive feature of the algorithm is that it does not assume fixed recourse and as a consequence the values and dimensions of the recourse matrix can be uncertain. The proposed algorithm contains multi-cut (partial) Benders decomposition and the deterministic equivalent model as special cases and can be used to trade-off computational speed and memory requirements. The algorithm outperforms multi-cut (partial) Benders decomposition in computational time and the deterministic equivalent model in memory requirements for a maintenance location routing problem. In addition, for instances with a large number of scenarios, the algorithm outperforms the deterministic equivalent model in both computational time and memory requirements. Furthermore, we present an adaptive relative tolerance for instances for which the solution time of the master problem is the bottleneck and the slave problems can be solved relatively efficiently. The adaptive relative tolerance is large in early iterations and converges to zero for the final iteration(s) of the algorithm. The combination of this relative adaptive tolerance with the proposed algorithm decreases the computational time of our instances even further.

scholarly journals A simple heuristic for reducing the number of scenarios in two-stage stochastic programming

2010 ◽  
Vol 34 (8) ◽  
pp. 1246-1255 ◽  
Author(s):  
Ramkumar Karuppiah ◽  
Mariano Martín ◽  
Ignacio E. Grossmann
Keyword(s):  
Stochastic Programming ◽  
Two Stage ◽  
Simple Heuristic

Two-stage stochastic programming problems involving interval discrete random variables

OPSEARCH ◽  
2012 ◽  
Vol 49 (3) ◽  
pp. 280-298 ◽  
Author(s):  
Suresh Kumar Barik ◽  
Mahendra Prasad Biswal ◽  
Debashish Chakravarty
Keyword(s):  
Stochastic Programming ◽  
Random Variables ◽  
Two Stage ◽  
Discrete Random Variables

Two-Stage Stochastic Programming Models for the Extended Aircraft Arrival Management Problem with Multiple Pre-Scheduling Points

2021 ◽  
Author(s):  
Ahmed Khassiba ◽  
Sonia Cafieri ◽  
Fabian Bastin ◽  
Marcel Mongeau ◽  
Bernard Gendron
Keyword(s):  
Stochastic Programming ◽  
Programming Models ◽  
Management Problem ◽  
Two Stage
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