Open AccessOptimization-Driven Scenario Grouping
Author(s) -
Kevin Ryan,
Shabbir Ahmed,
Santanu S. Dey,
Deepak Rajan,
Amelia Musselman,
JeanPaul Watson
Publication year - 2020
Publication title -
informs journal on computing
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 1.403
H-Index - 80
eISSN - 1526-5528
pISSN - 1091-9856
DOI - 10.1287/ijoc.2019.0924
Subject(s) - mathematical optimization , computer science , stochastic programming , preprocessor , set (abstract data type) , matching (statistics) , stochastic optimization , mathematics , artificial intelligence , statistics , programming language
Scenario decomposition algorithms for stochastic programs compute bounds by dualizing all nonanticipativity constraints and solving individual scenario problems independently. We develop an approac...
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