stochastic programming

On Robust Optimization of Two-Stage Systems

  • Shabbir Ahmed
  • Samer Takriti
    • Categories Convex Optimization, Robust Optimization, Stochastic Programming Tags , ,

    Robust optimization extends stochastic programming models by incorporating measures of variability into the objective function. This paper explores robust optimization in the context of two-stage planning systems. First, we propose the use of a generalized Benders decomposition algorithm for solving robust models. Next, we argue that using an arbitrary measure for variability can lead to … Read more

    Optimization on Computational Grids

  • Stephen Wright
    • Categories Branch and Cut Algorithms, Parallel Algorithms, Stochastic Programming Tags , , , ,

    We define the concept of a computational grid, and describe recent work in solving large and complex optimization problems on this type of platform; in particular, integer programming, the quadratic assignment problem, and stochastic programming problems. This article focuses on work conducted in the metaneos project. Citation Preprint, Mathematics and Computer Science Division, Argonne National … Read more