# 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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### Numerical problem regarding to classical benders cut of large scale problem

I am trying to implement benders decomposition for a simple two stage unit commitment problem. I implemented the classic Benders decomposition to add feasible cut and optimal cut to relax master ...
41 views

### 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{split} \min \ & c^Tx + \mathbb{E}_\xi[Q(x,\xi)] \\ & \text{where}\\ &Q(x,\xi)=\min q(\xi)^Ty\\ &Tx+...
70 views

### 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 ...
33 views

### 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 ...
143 views

### Generating numbers that should add up to a fixed value while they follow a known distribution

Suppose a perishable item that is associated with a shelf life $m\in \mathcal{M} = \{1,\dots,M\}$. We have a periodic review system with stock level $S$, i.e., based on the inventory level of the item,...
80 views

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### Benchmark problems for scenario-based stochastic optimization

$\newcommand{\E}{\mathbb{E}}$I am working on numerical algorithms for solving convex large-scale multistage scenario-based problems and I am looking for some standard benchmarks problems. I have so ...
693 views

### Stochastic programming MIP solvers

I am aware that Benders Decomposition is readily available in CPLEX and in SCIP; but are there any (free) solvers that provide off the shelf stochastic programming MIP algorithms or a nice to work ...
220 views

### 2 stage stochastic programming to approximate many stage problems

There are many naturally multi-stage (i.e., more than two) stochastic programming problems that are approximated by a two-stage stochastic programming model due to the complete intractability of the '...