Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse

Jingsheng Liu, Changyin Zhou and Xiuping Zhang

Modern Applied Science, 2008, vol. 2, issue 5, 122

Abstract: In this paper we extend directly adaptive multicut aggregation method of Svyatoslav Trukhanov, Lewis Ntaimo and Andrew Schaefer to solving two-stage problems of stochastic convex programming. The implement of the algorithm is simple, so less computation work is needed. The algorithm has certain convergence.

Date: 2008
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