基于割平面的随机规划分解方法

以两阶段随机规划为例,给出了基于割平面的三种分解方法：L型方法、多切割方法和自适应多切割聚合算法。三种方法都是以割平面为基础,将大规模问题分解为一系列小规模问题进行求解,从而降低了求解的规模。通过分析三种方法的优缺点,得到用自适应多切割聚合算法求解大规模问题时在计算时间方面的优越性,并给出了今后研究的方向。

Decomposition Method Based on Stochastic Programming with Cutting Plane

Based on the cutting plane,the three decomposition methods: L shaped method,multi-cutting method and self-adaptive multi-cutting aggregation method for solving the two stage stochastic programming are discussed in the paper.These methods are all based on cutting plane and decompose a large scale problem into a series of small problems.Therefore,it reduces the problem size for solving considerably.By analyzing the merits and demerits of these three methods,we find out the advantages in solving a large scale ...