Csaba Fábián (Loránd Eötvös University, Budapest)

Experiments with cutting-plane methods for two-stage stochastic programming problems
Joint work with Gautam Mitra, Frank Ellison and Victor Zviarovich (CARISMA), and Zoltan Szoke (Lorand Eotvos University).
Wednesday 21 January 2009 at 15.00, JCMB 6206

Abstract

We outline cutting-plane and regularisation techniques adapted to two-stage stochastic programming problems. We also consider the regularisation of feasibility issues. We sketch an approach that allows progressive approximation of the distribution of the random parameters.

We present a computational study comparing different approaches over a reasonably diverse collection of problems.

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