Detail publikačního výsledku

Warm-start Cuts for Generalized Benders Decomposition

KŮDELA, J.; POPELA, P.

Originální název

Warm-start Cuts for Generalized Benders Decomposition

Anglický název

Warm-start Cuts for Generalized Benders Decomposition

Druh

Článek WoS

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

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

Klíčová slova v angličtině

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

Autoři

KŮDELA, J.; POPELA, P.

Rok RIV

2018

Vydáno

31.12.2017

Nakladatel

UTIA

Místo

Prague

ISSN

0023-5954

Periodikum

KYBERNETIKA

Svazek

53

Číslo

6

Stát

Česká republika

Strany od

1012

Strany do

1025

Strany počet

13

BibTex

@article{BUT142260,
  author="Jakub {Kůdela} and Pavel {Popela}",
  title="Warm-start Cuts for Generalized Benders Decomposition",
  journal="KYBERNETIKA",
  year="2017",
  volume="53",
  number="6",
  pages="1012--1025",
  doi="10.14736/kyb-2017-6-1012",
  issn="0023-5954"
}