lagrange relaxation – Optimization Online

Two approaches to constrained stochastic optimal control problems

Published: 2015/05/12

Stochastic Programming dynamic programming, expectation and probability constraints, lagrange relaxation, stochastic optimal control

In this article, we study and compare two approaches to solving stochastic optimal control problems with an expectation constraint on the final state. The case of a probability constraint is included in this framework. The first approach is based on a dynamic programming principle and the second one uses Lagrange relaxation. These approaches can be … Read more

Relaxations and discretizations for the pooling problem

Published: 2015/04/28, Updated: 2017/10/27

(Mixed) Integer Nonlinear Programming, Global Optimization bilinear programming, convexification, discretization, lagrange relaxation, pooling problem

The pooling problem is a folklore NP-hard global optimization problem that finds applications in industries such as petrochemical refining, wastewater treatment, and mining. This paper assimilates the vast literature on this problem that is dispersed over different areas and gives unifying arguments and new insights on prevalent techniques. We also present new ideas for computing … Read more