Totally unimodular stochastic programs.

Saved in:

Bibliographic Details
Title:	Totally unimodular stochastic programs.
Authors:	Kong, Nan¹ nkong@purdue.edu, Schaefer, Andrew² schaefer@ie.pitt.edu, Ahmed, Shabbir³ sahmed@isye.gatech.edu
Source:	Mathematical Programming. Apr2013, Vol. 138 Issue 1/2, p1-13. 13p. 1 Black and White Photograph, 5 Charts.
Subjects:	Modular programming, Stochastic programming, Matrices (Mathematics), Iterative methods (Mathematics), Arithmetic mean, Linear programming
Abstract:	We consider totally unimodular (TU) stochastic programs, that is, two-stage stochastic programs whose extensive-form constraint matrix is TU. We generalize the notion of total unimodularity to apply to sets of matrices and provide properties of such sets. We provide several sufficient conditions on stochastic programs to be TU. When solving TU stochastic problems using the L-shaped method, it is not clear whether the integrality restrictions should be imposed on the master problem. Such restrictions will make each master problem more difficult to solve. On the other hand, solving the linear relaxation of the master typically means sending fractional (and unlikely optimal) solutions to the subproblems, perhaps leading to more iterations. Our computational results investigate this trade-off and provide insight into which strategy is preferable. [ABSTRACT FROM AUTHOR]
	Copyright of Mathematical Programming is the property of Springer Nature and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database:	Engineering Source

Be the first to leave a comment!