Yihang Zhang

Stochastic Mixed-Integer Programming: A Survey

  • Ward Romeijnders
  • Yihang Zhang
  • Suvrajeet Sen
    • Categories Stochastic Programming Tags ,

    The goal of this survey is to provide a road-map for exploring the growing area of stochastic mixed-integer programming (SMIP) models and algorithms. We provide a comprehensive overview of existing decomposition algorithms for two-stage SMIPs, including Dantzig-Wolfe decomposition, dual decomposition, Lagrangian cuts, and decomposition approaches using parametric cutting planes and scaled cuts. Moreover, we explicitly … Read more

    An Adaptive Stochastic Dual Progressive Hedging Algorithm for Stochastic Programming

  • Di Zhang
  • Yihang Zhang
  • Suvrajeet Sen
    • Categories Stochastic Approaches, Stochastic Programming Tags , , ,

    The Progressive Hedging (PH) algorithm is one of the cornerstones in large-scale stochastic programming. However, its traditional development requires that all scenario subproblems are solved per iteration, and a probability distribution with finitely many outcomes. This paper introduces a stochastic dual PH algorithm (SDPH) to overcome these challenges. We introduce an adaptive sampling process and … Read more