Two-Stage Stochastic Programs

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

Chapter Chapter 15 in Methods of Nonsmooth Optimization in Stochastic Programming, 2025, pp 457-470 from Springer

Abstract: Abstract By relying on the theory presented in Chap. 7 , this chapter focuses on two-stage stochastic optimization problems and two-stage decomposition to formulate a non-smooth optimization model so that the cutting-plane and bundle method algorithms from Chaps. 10 , 11 , and 13 can be efficiently deployed. The chapter extensively discusses how to set up appropriate black boxes (oracles) to satisfy the required conditions by those algorithms. A particular emphasis is given to inexact oracles of lower and upper types that permit solving general two-stage stochastic optimization models efficiently.

Keywords: Stochastic programming with recourse; Decomposition; Oracles (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-031-84837-7_15

Ordering information: This item can be ordered from
http://www.springer.com/9783031848377

DOI: 10.1007/978-3-031-84837-7_15

Access Statistics for this chapter

More chapters in International Series in Operations Research & Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().