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Decomposition algorithms for two-stage recourse problems


Mayer, János (2011). Decomposition algorithms for two-stage recourse problems. In: Cochran, James J. Wiley Encyclopedia of Operations Research and Management Science. Hoboken, USA: John Wiley & Sons, 1-10.

Abstract

In this article, decomposition methods for two‐stage linear recourse problems with a finite discrete distribution are discussed. First, we cover the L‐shaped decomposition method which represents a breakthrough concerning numerically efficient methods for solving two‐stage recourse problems. This algorithm was the basis for the development of several other decomposition methods. After giving an overview of these algorithms, we present regularized decomposition and stochastic decomposition in a more detailed fashion. Variance for recourse‐constrained problems and special cases including simple recourse with a random technology matrix are also considered. With reference to stochastic decomposition, the scope of which is not restricted to finite discrete distributions, algorithms for the continuous‐distribution case are discussed briefly with references to the literature.

Abstract

In this article, decomposition methods for two‐stage linear recourse problems with a finite discrete distribution are discussed. First, we cover the L‐shaped decomposition method which represents a breakthrough concerning numerically efficient methods for solving two‐stage recourse problems. This algorithm was the basis for the development of several other decomposition methods. After giving an overview of these algorithms, we present regularized decomposition and stochastic decomposition in a more detailed fashion. Variance for recourse‐constrained problems and special cases including simple recourse with a random technology matrix are also considered. With reference to stochastic decomposition, the scope of which is not restricted to finite discrete distributions, algorithms for the continuous‐distribution case are discussed briefly with references to the literature.

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Additional indexing

Item Type:Book Section, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:2011
Deposited On:28 Aug 2019 12:12
Last Modified:07 Apr 2020 07:22
Publisher:John Wiley & Sons
ISBN:978-0470400630
OA Status:Closed
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1002/9780470400531.eorms0230
Related URLs:https://onlinelibrary.wiley.com/doi/full/10.1002/9780470400531.eorms0230
Other Identification Number:merlin-id:4561

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