benders’ cuts

Computational evaluation of cut-strengthening techniques in logic-based Benders’ decomposition

  • Aigerim Saken
  • Emil Karlsson
  • Stephen J. Maher
  • Elina Rönnberg
    • Categories Applications - OR and Management Sciences, Combinatorial Optimization, Scheduling Tags , , , , ,

    Cut-strengthening techniques have a significant impact on the computational effectiveness of the Logic-based Benders’ decomposition (LBBD) scheme. While there have been numerous cut-strengthening techniques proposed, very little is understood about which techniques achieve the best computational performance for the LBBD scheme. This is typically due to implementations of LBBD being problem specific and thus, no … Read more

    Two methods of pruning Benders’ cuts and their application to the management of a gas portfolio

  • Romain Apparigliato
  • Laurent Pfeiffer
  • Sophie Auchapt
    • Categories Finance and Economics, Stochastic Programming Tags , , , ,

    In this article, we describe a gas portfolio management problem, which is solved with the SDDP (Stochastic Dual Dynamic Programming) algorithm. We present some improvements of this algorithm and focus on methods of pruning Benders’ cuts, that is to say, methods of picking out the most relevant cuts among those which have been computed. Our … Read more