two-stage stochastic optimization

A guided tour through the zoo of paired optimization problems

  • Oliver Stein
    • Categories Bilevel Optimization, Game Theory, Nonlinear Optimization Tags , , , , , , , , ,

    Many mathematical models base on the coupling of two or more optimization problems. This paper surveys possibilities to couple two optimization problems and discusses how solutions of the different models are interrelated with each other. The considered pairs stem from the fields of standard and generalized Nash equilibrium problems, optimistic and pessimistic bilevel problems, saddle … Read more

    Optimization-based Scenario Reduction for Data-Driven Two-stage Stochastic Optimization

  • Dimitris Bertsimas
  • Nishanth Mundru
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , ,

    We propose a novel, optimization-based method that takes into account the objective and problem structure for reducing the number of scenarios, m, needed for solving two-stage stochastic optimization problems. We develop a corresponding convex optimization-based algorithm, and show that as the number of scenarios increase, the proposed method recovers the SAA solution. We report computational … Read more