ISyE SEMINAR SERIES - CUTTING PLANE APPROACHES IN STOCHASTIC LINEAR PROGRAMMING
Over the past decade, there has been phenomenal growth in
our ability to address real-world stochastic linear programs.
Much of this progress is the result of two basic ingredients:
sampling and decomposition. In this presentation, we will start with a sample mean optimization method for two stage problems, and proceed to refinements including stochastic cutting planes, and stochastic decomposition. We will also discuss how these methods can be extended to multi-stage problems. Finally, some computational results will be presented.