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A warm-start approach for large-scale stochastic linear programs

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Original languageEnglish
Pages (from-to)371-397
Number of pages27
JournalMathematical programming
Volume127
Issue number2
DOIs
Publication statusPublished - Apr 2011

Abstract

We describe a way of generating a warm-start point for interior point methods in the context of stochastic programming. Our approach exploits the structural information of the stochastic problem so that it can be seen as a structure-exploiting initial point generator. We solve a small-scale version of the problem corresponding to a reduced event tree and use the solution to generate an advanced starting point for the complete problem. The way we produce a reduced tree tries to capture the important information in the scenario space while keeping the dimension of the corresponding (reduced) deterministic equivalent small. We derive conditions which should be satisfied by the reduced tree to guarantee a successful warm-start of the complete problem. The implementation within the HOPDM and OOPS interior point solvers shows remarkable advantages.

    Research areas

  • INTERIOR-POINT METHODS, CUTTING-PLANE SCHEME, DECOMPOSITION, OPTIMIZATION, GENERATION, STRATEGIES

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