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Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method

Christian Wolf (christian.wolf***at***dsor.de)
Achim Koberstein (koberstein***at***wiwi.uni-frankfurt.de)

Abstract: The Nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, which is developed within the COIN-OR framework. We show on a test set of 48 two-stage and 42 multi-stage problems, that both of the developed techniques lead to significant speed ups in computation time.

Keywords: Stochastic programming, Nested L-shaped method, Sequencing protocols, Cut consolidation

Category 1: Stochastic Programming

Category 2: Optimization Software and Modeling Systems

Citation: Accepted for publication, European Journal of Operational Research, April 2013. DOI: 10.1016/j.ejor.2013.04.017

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Entry Submitted: 09/04/2012
Entry Accepted: 09/04/2012
Entry Last Modified: 04/16/2013

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