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Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse

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Listed:
  • Jingsheng Liu
  • Changyin Zhou
  • Xiuping Zhang

Abstract

In this paper we extend directly adaptive multicut aggregation method of Svyatoslav Trukhanov, Lewis Ntaimo and Andrew Schaefer to solving two-stage problems of stochastic convex programming. The implement of the algorithm is simple, so less computation work is needed. The algorithm has certain convergence.

Suggested Citation

  • Jingsheng Liu & Changyin Zhou & Xiuping Zhang, 2008. "Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse," Modern Applied Science, Canadian Center of Science and Education, vol. 2(5), pages 122-122, September.
    • Handle: RePEc:ibn:masjnl:v:2:y:2008:i:5:p:122
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    References listed on IDEAS

    as
    1. Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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