Marco Colombo (University of Edinburgh)

A new strategy to start interior point methods for stochastic linear programming problems
ERGO Optimization day: Tuesday 13 June 2006 at 15.30, JCMB 5327

Abstract

Stochastic programming problems model future uncertainty through the analysis of possible future outcomes (scenarios): the more detailed the description is, the more robust are the decisions taken.

Real life applications may require the generation of very large scenario trees and, consequently, of large-scale size deterministic equivalent matrices. In a large scenario tree, the large-scale problem can provide a fine-grained solution to a problem that could have been solved more coarsely by using a much smaller tree. This observation suggests an idea for a warm-start technique that can be applied in the context of interior point methods.

In this talk we explore how to obtain a warm-start point by solving the stochastic optimization problem for a reduced event tree and then use it as an advanced iterate for the complete formulation.

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