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  • 1
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    Dual Decomposition in Stochastic Integer Programming (1996)
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    Publication Date: 2014-02-26
    Description: We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and Lagrangian relaxation. The approach can be applied to multi-stage problems with mixed-integer variables in each time stage. %We outline a branch-and-bound algorithm for obtaining primal feasible and %possibly optimal solutions. Numerical experience is presented for some two-stage test problems.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
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  • 2
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    A Two-Stage Stochastic Program for Unit Commitment Under Uncertainty in a Hydro-Thermal Power System (1998)
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    Publication Date: 2014-02-26
    Description: We develop a two-stage stochastic programming model with integer first-stage and mixed-integer recourse for solving the unit commitment problem in power generation in the presence of uncertainty of load profiles. The solution methodology rests on a novel scenario decomposition method for stochastic integer programming. This method combines Lagrangian relaxation of non-anticipativity constraints with branch-and-bound. It can be seen as a decomposition algorithm for large-scale mixed-integer linear programs with block-angular structure. With realistic data from a German utility we validate our model and carry out test runs. Sizes of these problems go up to 20.000 integer and 150.000 continuous variables together with up to 180.000 constraints.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    OPUS
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