Kevin Ryan

Optimization Driven Scenario Grouping

  • Shabbir Ahmed
  • Santanu S. Dey
  • Deepak Rajan
  • Kevin Ryan
    • Categories 0-1 Programming, Stochastic Programming Tags ,

    Scenario decomposition algorithms for stochastic programs compute bounds by dualizing all nonanticipativity constraints and solving individual scenario problems independently. We develop an approach that improves upon these bounds by re-enforcing a carefully chosen subset of nonanticipativity constraints, effectively placing scenarios into ‘groups’. Specifically, we formulate an optimization problem for grouping scenarios that aims to improve … Read more

    Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation

  • Shabbir Ahmed
  • Deepak Rajan
  • Kevin Ryan
    • Categories Parallel Algorithms, Stochastic Programming Tags , ,

    A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In this work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous … Read more