2014 · 23 citations · 10 references
Natural SciencesComputer ScienceIndustrial EngineeringOptimizationSchedulingStochastic ModelingCombinatorial OptimizationComputational MathematicsLinear ProgrammingStochastic OptimizationStochastic ProgrammingStochastic Systems ModelingBenders DecompositionLarge-scale Linear ProgrammingMulti-stage Stochastic ProgrammingMultistage Stochastic OptimizationMultistage Stochastic ProgrammingSampling SchemesStochastic Linear Programming
This paper presents a new sampling scheme for solving large multistage stochastic linear programs using Benders decomposition. The approach is compared with two alternative sampling approaches by applying the methods to a large hydro- thermal scheduling model with stochastic inflows. For this problem the new scheme performs better.
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