ISSN:
1572-9338
Keywords:
constraint aggregation
;
decomposition
;
multistage stochastic programming
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract The special constraint structure and large dimension are characteristic for multistage stochastic optimization. This results from modeling future uncertainty via branching process or scenario tree. Most efficient algorithms for solving this type of problems use certain decomposition schemes, and often only a part of the whole set of scenarios is taken into account in order to make the problem tractable. We propose a primal–dual method based on constraint aggregation, which constructs a sequence of iterates converging to a solution of the initial problem. At each iteration, however, only a reduced sub-problem with smaller number of aggregate constraints has to be solved. Number of aggregates and their composition are determined by the user, and the procedure for calculating aggregates can be parallelized. The method provides a posteriori estimates of the quality of the current solution approximation in terms of the objective function value and the residual. Results of numerical tests for a portfolio allocation problem with quadratic utility function are presented.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1019232731587
