Integrated Value Function Global Optimization Approaches for Two-Stage Stochastic Programs
Date
2021-05-27
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Abstract
We consider a class of nonnegative two-stage stochastic integer programs with discretely distributed right-hand sides. We develop a global optimization algorithm that exploits the structure of the superadditive dual for mixed-integer programs to search for the optimal solution. We demonstrate that our algorithm is capable of solving instances with large scenario counts to optimality.
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Degree
Master of Science
Type
Thesis
Keywords
Stochastic Programming, Mixed-Intger Programming, Super-additive, Duality·Non-convex Optimization
Citation
Antley, Eric M. "Integrated Value Function Global Optimization Approaches for Two-Stage Stochastic Programs." (2021) Master’s Thesis, Rice University. https://hdl.handle.net/1911/110654.
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