Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization

Abstract

In this work we present a decomposition approach as a mixture of dualization and Lagrangean relaxation for obtaining strong lower bounds on large-sized multistage stochastic mixed 0-1 programs with a time stochastic dominance risk averse measure. The objective function to minimize is a composite function of the expected cost along the time horizon over the… (More)
DOI: 10.1016/j.cor.2017.04.007

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