Active Set-based Inexact Proximal Bundle Algorithm for Stochastic Quadratic Programming

In this paper, we examine two-stage stochastic quadratic programming problems, where the objective function of the first and second stages are quadratic functions, and the constraints are linear. The uncertainty is associated with the second-stage right-hand side and variable bounds. In large-scale settings, when the number of scenarios necessary to represent the underlying stochastic process is exuberantly large, standard decomposition-based methods that require the exact solutions are computationally prohibitive. To deal with this issue, we develop two inexact proximal bundle algorithms that rely on efficient reutilization of solution information. The first algorithm utilizes a collection of previously encountered second-stage dual solutions to construct inexact minorants for the expectation-valued objective function. On the other hand, a partition-based inexact proximal bundle algorithm utilizes the optimal active sets obtained in earlier iterations and a primal-dual active set method in constructing the inexact minorant. For both these variants, we establish their asymptotic convergence to optimal solutions. Using a carefully developed computer implementation, we demonstrate the practical behavior of these algorithms through numerical experiments conducted on power systems planning and operations problems. The results indicate that the partition-based algorithm consistently identifies solutions that are comparable in quality to those obtained from exact algorithms while significantly reducing the computational time.

Article

Download

View Active Set-based Inexact Proximal Bundle Algorithm for Stochastic Quadratic Programming