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Authors: Akhil Langer and Udatta Palekar

Affiliation: University of Illinois at Urbana-Champaign, United States

ISBN: 978-989-758-075-8

Keyword(s): Stochastic Optimization, Decomposition, Scenario-based Decomposition, Multicut L-shaped Method, Resource Allocation, US Military Aircraft Allocation.

Related Ontology Subjects/Areas/Topics: Applications ; Artificial Intelligence ; e-Business ; Enterprise Information Systems ; Knowledge Discovery and Information Retrieval ; Knowledge-Based Systems ; Linear Programming ; Logistics ; Methodologies and Technologies ; Operational Research ; Optimization ; Pattern Recognition ; Resource Allocation ; Scheduling ; Software Engineering ; Stochastic Optimization ; Symbolic Systems

Abstract: Stochastic program optimizations are computationally very expensive, especially when the number of scenarios are large. Complexity of the focal application, and the slow convergence rate add to its computational complexity. We propose a split-and-merge (SAM) method for accelerating the convergence of stochastic linear programs. SAM splits the original problem into subproblems, and utilizes the dual constraints from the subproblems to accelerate the convergence of the original problem. Our initial results are very encouraging, giving up to 58% reduction in the optimization time. In this paper we discuss the initial results, the ongoing and the future work.

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Paper citation in several formats:
Langer, A.; Langer, A. and Palekar, U. (2015). Split-and-Merge Method for Accelerating Convergence of Stochastic Linear Programs.In Proceedings of the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-075-8, pages 218-223. DOI: 10.5220/0005287902180223

@conference{icores15,
author={Akhil Langer. and Akhil Langer. and Udatta Palekar.},
title={Split-and-Merge Method for Accelerating Convergence of Stochastic Linear Programs},
booktitle={Proceedings of the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2015},
pages={218-223},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005287902180223},
isbn={978-989-758-075-8},
}

TY - CONF

JO - Proceedings of the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - Split-and-Merge Method for Accelerating Convergence of Stochastic Linear Programs
SN - 978-989-758-075-8
AU - Langer, A.
AU - Langer, A.
AU - Palekar, U.
PY - 2015
SP - 218
EP - 223
DO - 10.5220/0005287902180223

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