On Adaptive Multicut Aggregation for Two-Stage Stochastic Linear Programs with Recourse

Outer linearization methods for two-stage stochastic linear programs with recourse, such as the L-shaped algorithm,generally apply a single optimality cut on the nonlinear objective at each major iteration, while the multicut version of the algorithm allows for several cuts to be placed at once. In general, the L-shaped algorithm tends to have more major iterations … Read more

Inverse Stochastic Linear Programming

Inverse optimization perturbs objective function to make an initial feasible solution optimal with respect to perturbed objective function while minimizing cost of perturbation. We extend inverse optimization to two-stage stochastic linear programs. Since the resulting model grows with number of scenarios, we present two decomposition approaches for solving these problems. Citation Unpublished: 07-1, University of … Read more

Totally Unimodular Stochastic Programs

We consider totally unimodular stochastic programs, that is, stochastic programs whose extensive-form constraint matrix is totally unimodular. We generalize the notion of total unimodularity to apply to sets of matrics and provide properties of such sets. Using this notion, we give several sufficient conditions for specific classes of problems. When solving such problems using the … Read more