two-stage stochastic linear programs

Properties of Two-Stage Stochastic Multi-Objective Linear Programs

  • Akshita Gupta
  • Susan R. Hunter
    • Categories Multi-Criteria Optimization, Other Topics, Stochastic Programming Tags , ,

    We consider a two-stage stochastic multi-objective linear program (TSSMOLP) which is a natural multi-objective generalization of the well-studied two-stage stochastic linear program. The second-stage recourse decision is governed by an uncertain multi-objective linear program whose solution maps to an uncertain second-stage nondominated set. The TSSMOLP then comprises the objective function, which is the Minkowsi sum … Read more

    Inexact Bundle Methods for Two-Stage Stochastic Programming

  • Welington de Oliveira
  • Claudia Sagastizábal
  • Susana Scheimberg
    • Categories Nonlinear Optimization, Stochastic Programming Tags , ,

    Stochastic programming problems arise in many practical situations. In general, the deterministic equivalents of these problems can be very large and may not be solvable directly by general-purpose optimization approaches. For the particular case of two-stage stochastic programs, we consider decomposition approaches akin to a regularized L-shaped method that can handle inexactness in the subproblem … Read more