Scenario Decomposition with Alternating Projections

Wim Stefanus Ackooij and Welington Luis de Oliveira
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Wim Stefanus Ackooij: Électricité de France (EDF R&D)
Welington Luis de Oliveira: Mines Paris - PSL

Chapter Chapter 17 in Methods of Nonsmooth Optimization in Stochastic Programming, 2025, pp 485-496 from Springer

Abstract: Abstract In this chapter we focus on a splitting algorithm for a broad class of multistage stochastic programming, namely, risk-averse and distributionally robust problems. The considered algorithm, denoted by Scenario Decomposition with Alternating Projections (SDAP), is a special implementation of the Douglas-Rachford splitting method that enjoys significant flexibility and opens the way to handle, in a single algorithm, several classes of risk measures and ambiguity sets.

Keywords: Multistage stochastic programming; Distributionally robust optimization; Splitting methods (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-031-84837-7_17

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DOI: 10.1007/978-3-031-84837-7_17

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