Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse


  •  Jingsheng Liu    
  •  Changyin Zhou    
  •  Xiuping Zhang    

Abstract

In this paper we extend directly adaptive multicut aggregation method of Svyatoslav Trukhanov, Lewis Ntaimo and Andrew Schaefer to solving two-stage problems of stochastic convex programming. The implement of the algorithm is simple, so less computation work is needed. The algorithm has certain convergence.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1913-1844
  • ISSN(Online): 1913-1852
  • Started: 2007
  • Frequency: monthly

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