A decomposition algorithm for two-stage stochastic programs with approximate rotational invariance
Optimization and Control
2024-08-01 v1
Abstract
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.
Cite
@article{arxiv.2407.21215,
title = {A decomposition algorithm for two-stage stochastic programs with approximate rotational invariance},
author = {Marzieh Bakhshi and Konstantin Tikhomirov},
journal= {arXiv preprint arXiv:2407.21215},
year = {2024}
}