A decomposition-based warm-start method for stochastic programming

Marco Colombo, Andreas Grothey

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we propose a warm-start technique for interior point methods applicable to multi-stage stochastic linear programming problems. The main idea is to generate an initial point by decomposing the problem at the second stage and using an approximate solution of the subproblems as a starting point for the complete instance. We analyse this scheme and produce theoretical conditions under which the warm-start iterate is successful. We describe the implementation within the OOPS solver and the results of the numerical tests we performed.
Original languageEnglish
Pages (from-to)311-340
Number of pages30
JournalComputational optimization and applications
Volume55
Issue number2
DOIs
Publication statusPublished - Jun 2013

Keywords

  • Stochastic programming, Interior point methods, Warm-starting, Structure exploitation

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