Detail publikace

Warm-start Cuts for Generalized Benders Decomposition

KŮDELA, J. POPELA, P.

Anglický název

Warm-start Cuts for Generalized Benders Decomposition

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

en

Originální abstrakt

In this paper, we describe a decomposition algorithm suitable for two-stage convex stochastic programs known as Generalized Benders Decomposition. For this algorithm we propose a new reformulation that incorporates a lower bound cut that serves as a warm-start, decreasing the overall computation time. Additionally, we test the performance of the proposed reformulation on two modifications of the algorithm (bunching and multicut) using numerical examples. The numerical part is programmed in MATLAB and uses state-of-the-art conic solvers.

Anglický abstrakt

In this paper, we describe a decomposition algorithm suitable for two-stage convex stochastic programs known as Generalized Benders Decomposition. For this algorithm we propose a new reformulation that incorporates a lower bound cut that serves as a warm-start, decreasing the overall computation time. Additionally, we test the performance of the proposed reformulation on two modifications of the algorithm (bunching and multicut) using numerical examples. The numerical part is programmed in MATLAB and uses state-of-the-art conic solvers.

Klíčová slova anglicky

stochastic programming, Generalized Benders Decomposition, L-shaped method, warm{start

Vydáno

31.12.2017

Nakladatel

UTIA

Místo

Prague

ISSN

0023-5954

Ročník

53

Číslo

6

Strany od–do

1012–1025

Počet stran

13

BIBTEX


@article{BUT142260,
  author="Jakub {Kůdela} and Pavel {Popela},
  title="Warm-start Cuts for Generalized Benders Decomposition",
  year="2017",
  volume="53",
  number="6",
  month="December",
  pages="1012--1025",
  publisher="UTIA",
  address="Prague",
  issn="0023-5954"
}