A decomposition algorithm for two-stage stochastic programs with approximate rotational invariance
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866911973443108864 |
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| author | Bakhshi, Marzieh Tikhomirov, Konstantin |
| author_facet | Bakhshi, Marzieh Tikhomirov, Konstantin |
| contents | We propose an algorithm of approximating the optimal objective value of a two-stage stochastic program under an assumption of {\it approximate rotational invariance} of the technology matrix, and compare the method with the L-shaped decomposition. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_21215 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A decomposition algorithm for two-stage stochastic programs with approximate rotational invariance Bakhshi, Marzieh Tikhomirov, Konstantin Optimization and Control We propose an algorithm of approximating the optimal objective value of a two-stage stochastic program under an assumption of {\it approximate rotational invariance} of the technology matrix, and compare the method with the L-shaped decomposition. |
| title | A decomposition algorithm for two-stage stochastic programs with approximate rotational invariance |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2407.21215 |