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Two methods of pruning Benders' cuts and their application to the management of a gas portfolio

Laurent Pfeiffer(laurent.pfeiffer***at***polytechnique.edu)
Romain Apparigliato(romain.apparigliato***at***gdfsuez.com)
Sophie Auchapt(sophie.auchapt***at***gdfsuez.com)

Abstract: In this article, we describe a gas portfolio management problem, which is solved with the SDDP (Stochastic Dual Dynamic Programming) algorithm. We present some improvements of this algorithm and focus on methods of pruning Benders' cuts, that is to say, methods of picking out the most relevant cuts among those which have been computed. Our territory algorithm allows a quick selection and a great reduction of the number of cuts. Our second method only deletes cuts which do not contribute to the approximation of the value function, thanks to a test of usefulness. Numerical results are presented.

Keywords: SDDP algorithm, stochastic programming, energy management, pruning methods, Benders' cuts.

Category 1: Stochastic Programming

Category 2: Applications -- OR and Management Sciences (Finance and Economics )

Citation: This article was published as the Inria Research Report No 8133.

Download: [PDF]

Entry Submitted: 11/19/2012
Entry Accepted: 11/19/2012
Entry Last Modified: 11/19/2012

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