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SUMMARY:Scaled cuts for stochastic mixed-integer programs
DTSTART:20230517T100000
DTEND:20230517T120000
DTSTAMP:20260407T075351Z
UID:a5c7a423ff32dd95410d0581b8df9de9b6e1941bc8fe13a180cb17ee
CATEGORIES:Conferences - Seminars
DESCRIPTION:Professor Ward Romeijnders University of Groningen\nAbstract: 
 We develop a new type of Benders’ decomposition for two-stage stochastic
  mixed-integer programs with general mixed-integer variables in both time 
 stages. In this algorithm we iteratively construct tighter lower bounds of
  the expected second-stage cost function using a new family of so-called s
 caled optimality cuts. We derive these cuts by parametrically solving exte
 nded formulations of the second-stage problems using deterministic mixed-i
 nteger programming techniques. The advantage of these scaled cuts is that 
 they allow for parametric non-linear feasibility cuts in the second stage\
 , but that the optimality cuts in the master problem remain linear. We est
 ablish convergence by proving that the optimality cuts recover the convex 
 envelope of the expected second-stage cost function.\n\nBio sketch: Ward R
 omeijnders is an associate professor within the Department of Operations a
 t the University of Groningen. His research is focused on developing exact
  and approximate solution methods for integer optimization problems under 
 uncertainty. This class of problems can be used to support decision making
  under uncertainty for a wide range of applications in\, e.g.\, energy\, h
 ealthcare\, logistics\, and finance. Ward is active in the stochastic prog
 ramming community and publishes his research in journals such as Operation
 s Research\, Mathematical Programming\, SIAM Journal on Optimization\, Eur
 opean Journal of Operational Research\, and INFORMS Journal on Computing. 
 Moreover\, he has received several research grants from the Netherlands Or
 ganisation for Scientific Research\, the latest one for a project called "
 Discrete Decision Making under Uncertainty".
LOCATION:ODY 4 03 https://plan.epfl.ch/?room==ODY%204%2003
STATUS:CONFIRMED
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