Christian Wolf

Applying oracles of on-demand accuracy in two-stage stochastic programming – a computational study

  • Csaba I. Fábián
  • Achim Koberstein
  • Leena Suhl
  • Christian Wolf
    • Categories Optimization Software Benchmark, Stochastic Programming Tags , , ,

    Traditionally, two variants of the L-shaped method based on Benders’ decomposition principle are used to solve two-stage stochastic programming problems: the single-cut and the multi-cut version. The concept of an oracle with on-demand accuracy was originally proposed in the context of bundle methods for unconstrained convex optimzation to provide approximate function data and subgradients. In … Read more

    Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method

  • Achim Koberstein
  • Christian Wolf
    • Categories Optimization Software and Modeling Systems, Stochastic Programming Tags , , ,

    The Nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, … Read more