Questions tagged [stochastic-programming]

For questions about optimization problems in which one or more parameters are stochastic, with known probability distributions or discrete scenarios. The goal is often, but not always, to minimize or maximize the expected value of the objective function.

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Solving large-scale stochastic mixed integer program

What are some methods or algorithms for solving a large-scale stochastic mixed-integer optimization problem that runs on an hourly dataset for a year? Do we employ some kind of decomposition? (the ...
3
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How to find range of values for the first-stage decisions resulting in the same cuts in two-stage stochastic programming?

Suppose we have a two-stage stochastic program as follows: \begin{equation} \begin{split} \min \ & c^Tx + \mathbb{E}_\xi[Q(x,\xi)] \\ & \text{where}\\ &Q(x,\xi)=\min q(\xi)^Ty\\ &Tx+...
2
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What is the intuition behind Progressive hedging algorithm?

I am reading some papers about PHA to solve multi-stage stochastic programming, but I think it is not still clear to me. This is my understanding and I would be thankful to know if it is correct or ...
2
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How to write nonanticipativity constraints?

In Multi-stage stochastic programming, we write the constraints that for scenarios $s$ and $s^{\prime}$ which have the same trajectory up to time $t$, should take the same value. That is, $$ x_{t,s} =...
2
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Decision-making algorithm for dynamic load balancing

I'm researching a subject of balancing the load between two black-box systems (with some twists). I thought that I could record latest response time log from each of those systems and process such a ...
1
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Scenario Tree Construction in Multi-Stage Stochastic Programming

I gonna use the approach used in this document. Suppose there are $T$ stages and uncertain parameter is $\xi_{t}, \quad t \in \{1,2,\dots,T\}$. In this algorithm, it is required to calculate the ...
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How do I find the extreme rays and points for a stochastic programming problem

I have the following 2 stage Stochastic Programming program: \begin{align}\min_x& \quad x+\sum_{s=1}^{3}p_sQ_s(x)\\\text{s.t.}&\quad x\in\Bbb R\\&\quad Q_s(x)=\min\left[\begin{pmatrix}1&...