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A New Scenario Decomposition Method for Large-Scale Stochastic Optimization

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  1. Yan, Shangyao & Tang, Ching-Hui, 2009. "Inter-city bus scheduling under variable market share and uncertain market demands," Omega, Elsevier, vol. 37(1), pages 178-192, February.
  2. Panos Parpas & Berç Rustem, 2007. "Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems," INFORMS Journal on Computing, INFORMS, vol. 19(2), pages 239-247, May.
  3. Trukhanov, Svyatoslav & Ntaimo, Lewis & Schaefer, Andrew, 2010. "Adaptive multicut aggregation for two-stage stochastic linear programs with recourse," European Journal of Operational Research, Elsevier, vol. 206(2), pages 395-406, October.
  4. Manuel Laguna, 1998. "Applying Robust Optimization to Capacity Expansion of One Location in Telecommunications with Demand Uncertainty," Management Science, INFORMS, vol. 44(11-Part-2), pages 101-110, November.
  5. Jabbarzadeh, Armin & Fahimnia, Behnam & Seuring, Stefan, 2014. "Dynamic supply chain network design for the supply of blood in disasters: A robust model with real world application," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 70(C), pages 225-244.
  6. Lee, Chungmok, 2022. "A robust optimization approach with probe-able uncertainty," European Journal of Operational Research, Elsevier, vol. 296(1), pages 218-239.
  7. Yan, Shangyao & Lin, Jenn-Rong & Lai, Chun-Wei, 2013. "The planning and real-time adjustment of courier routing and scheduling under stochastic travel times and demands," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 53(C), pages 34-48.
  8. Yan, Shangyao & Chi, Chin-Jen & Tang, Ching-Hui, 2006. "Inter-city bus routing and timetable setting under stochastic demands," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(7), pages 572-586, August.
  9. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
  10. Cooper, W. W. & Hemphill, H. & Huang, Z. & Li, S. & Lelas, V. & Sullivan, D. W., 1997. "Survey of mathematical programming models in air pollution management," European Journal of Operational Research, Elsevier, vol. 96(1), pages 1-35, January.
  11. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
  12. Kavinesh J. Singh & Andy B. Philpott & R. Kevin Wood, 2009. "Dantzig-Wolfe Decomposition for Solving Multistage Stochastic Capacity-Planning Problems," Operations Research, INFORMS, vol. 57(5), pages 1271-1286, October.
  13. Blanchot, Xavier & Clautiaux, François & Detienne, Boris & Froger, Aurélien & Ruiz, Manuel, 2023. "The Benders by batch algorithm: Design and stabilization of an enhanced algorithm to solve multicut Benders reformulation of two-stage stochastic programs," European Journal of Operational Research, Elsevier, vol. 309(1), pages 202-216.
  14. Zhao, Yonggan & Ziemba, William T., 2008. "Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1525-1540, March.
  15. Jangho Park & Rebecca Stockbridge & Güzin Bayraksan, 2021. "Variance reduction for sequential sampling in stochastic programming," Annals of Operations Research, Springer, vol. 300(1), pages 171-204, May.
  16. Feng, Yuqiang & Che, Ada & Tian, Na, 2024. "Robust inventory routing problem under uncertain demand and risk-averse criterion," Omega, Elsevier, vol. 127(C).
  17. Yan, Shangyao & Tang, Ching-Hui, 2007. "A heuristic approach for airport gate assignments for stochastic flight delays," European Journal of Operational Research, Elsevier, vol. 180(2), pages 547-567, July.
  18. Julia L. Higle, 1998. "Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs," INFORMS Journal on Computing, INFORMS, vol. 10(2), pages 236-247, May.
  19. Helga Meier & Nicos Christofides & Gerry Salkin, 2001. "Capital Budgeting Under Uncertainty---An Integrated Approach Using Contingent Claims Analysis and Integer Programming," Operations Research, INFORMS, vol. 49(2), pages 196-206, April.
  20. Shangyao Yan & Chia-Hung Chen & Chung-Kai Chen, 2008. "Short-term shift setting and manpower supplying under stochastic demands for air cargo terminals," Transportation, Springer, vol. 35(3), pages 425-444, May.
  21. Dimitris Bertsimas & Omid Nohadani & Kwong Meng Teo, 2010. "Robust Optimization for Unconstrained Simulation-Based Problems," Operations Research, INFORMS, vol. 58(1), pages 161-178, February.
  22. Govindan, Kannan & Gholizadeh, Hadi, 2021. "Robust network design for sustainable-resilient reverse logistics network using big data: A case study of end-of-life vehicles," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).
  23. X. W. Liu & M. Fukushima, 2006. "Parallelizable Preprocessing Method for Multistage Stochastic Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 131(3), pages 327-346, December.
  24. Yan, Shangyao & Tang, Ching-Hui & Fu, Tseng-Chih, 2008. "An airline scheduling model and solution algorithms under stochastic demands," European Journal of Operational Research, Elsevier, vol. 190(1), pages 22-39, October.
  25. Alizadeh, Morteza & Amiri-Aref, Mehdi & Mustafee, Navonil & Matilal, Sumohon, 2019. "A robust stochastic Casualty Collection Points location problem," European Journal of Operational Research, Elsevier, vol. 279(3), pages 965-983.
  26. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
  27. Ruszczynski, Andrzej & Swietanowski, Artur, 1997. "Accelerating the regularized decomposition method for two stage stochastic linear problems," European Journal of Operational Research, Elsevier, vol. 101(2), pages 328-342, September.
  28. István Deák, 2011. "Testing successive regression approximations by large-scale two-stage problems," Annals of Operations Research, Springer, vol. 186(1), pages 83-99, June.
  29. Og[caron]uzsoy, Cemal Berk & Güven, Sibel, 2007. "Robust portfolio planning in the presence of market anomalies," Omega, Elsevier, vol. 35(1), pages 1-6, February.
  30. Lassiter, Kyle & Khademi, Amin & Taaffe, Kevin M., 2015. "A robust optimization approach to volunteer management in humanitarian crises," International Journal of Production Economics, Elsevier, vol. 163(C), pages 97-111.
  31. Michael Freimer & Jeffrey Linderoth & Douglas Thomas, 2012. "The impact of sampling methods on bias and variance in stochastic linear programs," Computational Optimization and Applications, Springer, vol. 51(1), pages 51-75, January.
  32. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis.
  33. Maher, Stephen J., 2021. "Implementing the branch-and-cut approach for a general purpose Benders’ decomposition framework," European Journal of Operational Research, Elsevier, vol. 290(2), pages 479-498.
  34. Zhang, S., 2002. "An interior-point and decomposition approach to multiple stage stochastic programming," Econometric Institute Research Papers EI 2002-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  35. Leung, Stephen C.H. & Tsang, Sally O.S. & Ng, W.L. & Wu, Yue, 2007. "A robust optimization model for multi-site production planning problem in an uncertain environment," European Journal of Operational Research, Elsevier, vol. 181(1), pages 224-238, August.
  36. Fudong Xie & Ce Wang & Housheng Duan, 2024. "Optimizing Fleet Size in Point-to-Point Shared Demand Responsive Transportation Service: A Network Decomposition Approach," Mathematics, MDPI, vol. 12(19), pages 1-20, September.
  37. Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
  38. Yan, Yongze & Hong, Liu & He, Xiaozheng & Ouyang, Min & Peeta, Srinivas & Chen, Xueguang, 2017. "Pre-disaster investment decisions for strengthening the Chinese railway system under earthquakes," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 105(C), pages 39-59.
  39. Tang, Yikuan & Zhang, Fan & Wang, Sufen & Zhang, Xiaodong & Guo, Shanshan & Guo, Ping, 2019. "A distributed interval nonlinear multiobjective programming approach for optimal irrigation water management in an arid area," Agricultural Water Management, Elsevier, vol. 220(C), pages 13-26.
  40. Rebecca Stockbridge & Güzin Bayraksan, 2016. "Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming," Computational Optimization and Applications, Springer, vol. 64(2), pages 407-431, June.
  41. Semih Atakan & Suvrajeet Sen, 2018. "A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs," Computational Management Science, Springer, vol. 15(3), pages 501-540, October.
  42. Suvrajeet Sen & Yifan Liu, 2016. "Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction," Operations Research, INFORMS, vol. 64(6), pages 1422-1437, December.
  43. Jie Sun & Xinwei Liu, 2006. "Scenario Formulation of Stochastic Linear Programs and the Homogeneous Self-Dual Interior-Point Method," INFORMS Journal on Computing, INFORMS, vol. 18(4), pages 444-454, November.
  44. S C H Leung & K K Lai & W-L Ng & Y Wu, 2007. "A robust optimization model for production planning of perishable products," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(4), pages 413-422, April.
  45. Marco Colombo & Andreas Grothey, 2013. "A decomposition-based crash-start for stochastic programming," Computational Optimization and Applications, Springer, vol. 55(2), pages 311-340, June.
  46. T. Glenn Bailey & Paul A. Jensen & David P. Morton, 1999. "Response surface analysis of two‐stage stochastic linear programming with recourse," Naval Research Logistics (NRL), John Wiley & Sons, vol. 46(7), pages 753-776, October.
  47. Fengqi You & Ignacio Grossmann, 2013. "Multicut Benders decomposition algorithm for process supply chain planning under uncertainty," Annals of Operations Research, Springer, vol. 210(1), pages 191-211, November.
  48. Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
  49. Jesús Latorre & Santiago Cerisola & Andrés Ramos & Rafael Palacios, 2009. "Analysis of stochastic problem decomposition algorithms in computational grids," Annals of Operations Research, Springer, vol. 166(1), pages 355-373, February.
  50. R. Baldacci & M. Boschetti & N. Christofides & S. Christofides, 2009. "Exact methods for large-scale multi-period financial planning problems," Computational Management Science, Springer, vol. 6(3), pages 281-306, August.
  51. Yan Deng & Shabbir Ahmed & Siqian Shen, 2018. "Parallel Scenario Decomposition of Risk-Averse 0-1 Stochastic Programs," INFORMS Journal on Computing, INFORMS, vol. 30(1), pages 90-105, February.
  52. Tiberius, Victor & Siglow, Caroline & Sendra-García, Javier, 2020. "Scenarios in business and management: The current stock and research opportunities," Journal of Business Research, Elsevier, vol. 121(C), pages 235-242.
  53. Shangyao Yan & Ching-Hui Tang, 2008. "An Integrated Framework for Intercity Bus Scheduling Under Stochastic Bus Travel Times," Transportation Science, INFORMS, vol. 42(3), pages 318-335, August.
  54. H. S. Yan, 2000. "Hierarchical Stochastic Production Planning with Delay Interaction," Journal of Optimization Theory and Applications, Springer, vol. 104(3), pages 659-689, March.
  55. Julia Higle & Suvrajeet Sen, 2006. "Multistage stochastic convex programs: Duality and its implications," Annals of Operations Research, Springer, vol. 142(1), pages 129-146, February.
  56. Xu, Y. & Huang, G.H. & Qin, X.S. & Cao, M.F., 2009. "SRCCP: A stochastic robust chance-constrained programming model for municipal solid waste management under uncertainty," Resources, Conservation & Recycling, Elsevier, vol. 53(6), pages 352-363.
  57. Mohammaddust, Faeghe & Rezapour, Shabnam & Farahani, Reza Zanjirani & Mofidfar, Mohammad & Hill, Alex, 2017. "Developing lean and responsive supply chains: A robust model for alternative risk mitigation strategies in supply chain designs," International Journal of Production Economics, Elsevier, vol. 183(PC), pages 632-653.
  58. Vahdani, Behnam & Mohammadi, M., 2015. "A bi-objective interval-stochastic robust optimization model for designing closed loop supply chain network with multi-priority queuing system," International Journal of Production Economics, Elsevier, vol. 170(PA), pages 67-87.
  59. Ratanakuakangwan, Sudlop & Morita, Hiroshi, 2021. "Hybrid stochastic robust optimization and robust optimization for energy planning – A social impact-constrained case study," Applied Energy, Elsevier, vol. 298(C).
  60. Jeff Linderoth & Alexander Shapiro & Stephen Wright, 2006. "The empirical behavior of sampling methods for stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 215-241, February.
  61. Chia-Hung Chen & Shangyao Yan & Miawjane Chen, 2010. "Short-term manpower planning for MRT carriage maintenance under mixed deterministic and stochastic demands," Annals of Operations Research, Springer, vol. 181(1), pages 67-88, December.
  62. Hashem Omrani & Farzane Adabi & Narges Adabi, 2017. "Designing an efficient supply chain network with uncertain data: a robust optimization—data envelopment analysis approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 816-828, July.
  63. K. A. Ariyawansa & Andrew J. Felt, 2004. "On a New Collection of Stochastic Linear Programming Test Problems," INFORMS Journal on Computing, INFORMS, vol. 16(3), pages 291-299, August.
  64. Antimo Barbato & Antonio Capone, 2014. "Optimization Models and Methods for Demand-Side Management of Residential Users: A Survey," Energies, MDPI, vol. 7(9), pages 1-38, September.
  65. Charles I. Nkeki, 2013. "Dynamic Optimization Technique for Distribution of Goods with Stochastic Shortages," Journal of Optimization, Hindawi, vol. 2013, pages 1-12, December.
  66. Siva Sankaran & Tung Bui, 2008. "An organizational model for transitional negotiations: concepts, design and applications," Group Decision and Negotiation, Springer, vol. 17(2), pages 157-173, March.
  67. Samer Takriti & John R. Birge, 2000. "Lagrangian Solution Techniques and Bounds for Loosely Coupled Mixed-Integer Stochastic Programs," Operations Research, INFORMS, vol. 48(1), pages 91-98, February.
  68. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
  69. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, International Institute for Applied Systems Analysis.
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