The Abridged Nested Decomposition Method for Multistage Stochastic Linear Programs with Relatively Complete Recourse

Christopher Donohue · John R. Birge

84 citations0/0 files storedAlgorithmic operations research

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

Abstract

This paper considers large-scale multistage stochastic linear programs. Sampling is incorporated into the nested decomposition algorithm in a manner which proves to be significantly more efficient than a previous approach. The main advantage of the method arises from maintaining a restricted set of solutions that substantially reduces computation time in each stage of the procedure.

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2004Linear Programming Under Uncertainty 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse

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