Marco Colombo (University of Edinburgh)

A decomposition-based warm-start method for stochastic programming
Joint work with Andreas Grothey.
Wednesday 4 March 2009 at 15.30, JCMB 6206

Abstract

We propose a warm-start technique for interior point methods applicable to multi-stage stochastic linear programming problems.

The main idea is to generate an initial point by decomposing the problem at the second stage and using an approximate solution of the subproblems as a starting point for the complete instance.

We describe the implementation within the OOPS solver and the results of the numerical tests we performed.

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