Campuses:

Algorithms for Solving Two-Stage Stochastic Optimization Problems

Tuesday, August 9, 2016 - 11:00am - 12:30pm
Lind 305
Jeff Linderoth (University of Wisconsin, Madison)
Continuing the first lecture, we will introduce advanced features that
improve the performance of algorithms for solving the Benders-based
decomposition. Aggregating scenarios and regularization approaches
will be a primary focus. We will also introduce a different dual
decomposition technique that can be effective for solving two-stage
stochastic programs, and discuss algorithmic approaches for solving
the dual decomposition.
MSC Code: 
90C15