two-stage integer programming

Probabilistic analysis of dual decomposition on two-stage stochastic integer programs

  • Jingye Xu
    • Categories Integer Programming, Stochastic Programming Tags ,

    Two-stage stochastic integer programs provide a powerful framework for modeling decision-making under uncertainty, but they are notoriously difficult to solve at scale due to their high dimensionality and intrinsic nonconvexity. Decomposition-based algorithms such as Benders methods and Branch-and-Price (related dual decomposition methods) have become standard computational approaches for such problems and demonstrate excellent empirical performance … Read more

    Decomposition algorithm for large-scale two-stage unit-commitment

  • Jérôme Malick
  • Wim van Ackooij
    • Categories Applications - OR and Management Sciences, Nonsmooth Optimization, Stochastic Programming Tags , , , , ,

    Everyday, electricity generation companies submit a generation schedule to the grid operator for the coming day; computing an optimal schedule is called the unit-commitment problem. Generation companies can also occasionally submit changes to the schedule, that can be seen as intra-daily incomplete recourse actions. In this paper, we propose a two-stage formulation of unit-commitment, wherein … Read more