Michelle Bandarra

Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

  • Michelle Bandarra
  • Vincent Guigues
    • Categories Stochastic Programming

    We introduce a variant of Multicut Decomposition Algorithms (MuDA), called CuSMuDA (Cut Selection for Multicut Decomposition Algorithms), for solving multistage stochastic linear programs that incorporates a class of cut selection strategies to choose the most relevant cuts of the approximate recourse functions. This class contains Level 1 and Limited Memory Level 1 cut selection strategies, … Read more

    Multicut decomposition methods with cut selection for multistage stochastic programs

  • Michelle Bandarra
  • Vincent Guigues
    • Categories Stochastic Programming

    We introduce a variant of Multicut Decomposition Algorithms (MuDA), called CuSMuDA (Cut Selection for Multicut Decomposition Algorithms), for solving multistage stochastic linear programs that incorporates strategies to select the most relevant cuts of the approximate recourse functions. We prove the convergence of the method in a finite number of iterations and use it to solve … Read more