Detail publikace

Warm-start Cuts for Generalized Benders Decomposition

Originální název

Warm-start Cuts for Generalized Benders Decomposition

Anglický název

Warm-start Cuts for Generalized Benders Decomposition

Jazyk

en

Originální abstrakt

In this paper, we describe a decomposition algorithm suitable for two-stage convex stochastic programs known as Generalized Benders Decomposition. For this algorithm we propose a new reformulation that incorporates a lower bound cut that serves as a warm-start, decreasing the overall computation time. Additionally, we test the performance of the proposed reformulation on two modifications of the algorithm (bunching and multicut) using numerical examples. The numerical part is programmed in MATLAB and uses state-of-the-art conic solvers.

Anglický abstrakt

In this paper, we describe a decomposition algorithm suitable for two-stage convex stochastic programs known as Generalized Benders Decomposition. For this algorithm we propose a new reformulation that incorporates a lower bound cut that serves as a warm-start, decreasing the overall computation time. Additionally, we test the performance of the proposed reformulation on two modifications of the algorithm (bunching and multicut) using numerical examples. The numerical part is programmed in MATLAB and uses state-of-the-art conic solvers.

BibTex


@article{BUT142260,
  author="Jakub {Kůdela} and Pavel {Popela}",
  title="Warm-start Cuts for Generalized Benders Decomposition",
  annote="In this paper, we describe a decomposition algorithm suitable for two-stage convex stochastic
programs known as Generalized Benders Decomposition. For this algorithm we propose a new
reformulation that incorporates a lower bound cut that serves as a warm-start, decreasing the
overall computation time. Additionally, we test the performance of the proposed reformulation
on two modifications of the algorithm (bunching and multicut) using numerical examples. The
numerical part is programmed in MATLAB and uses state-of-the-art conic solvers.",
  address="UTIA",
  chapter="142260",
  doi="10.14736/kyb-2017-6-1012",
  howpublished="print",
  institution="UTIA",
  number="6",
  volume="53",
  year="2017",
  month="december",
  pages="1012--1025",
  publisher="UTIA",
  type="journal article in Web of Science"
}