Browsing by Author "Sen, Suvrajeet"

Now showing items 1-11 of 11

2006-10-27Buch

A branch-and-cut algorithm for two-stage stochastic mixed-binary programs with continuous first-stage variables

Ntaimo, Lewis; Sen, Suvrajeet

This paper presents a branch-and-cut method for two-stage stochastic mixed-integer programming (SMIP) problems with continuous first-stage variables. This method is derived based on disjunctive decomposition(D2) for SMIP, ...
2002-10-24Buch

A branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems

Lulli, Guglielmo; Sen, Suvrajeet

In this paper we present a branch-and-price method to solve special structured multi-stage stochastic integer programming problems. We validate our method on two different versions of a multi-stage stochastic batch-sizing ...
2005-12-29Buch

A Comparative Study of Decomposition Algorithms for Stochastic Combinatorial Optimization

Ntaimo, Lewis; Sen, Suvrajeet

This paper presents comparative computational results using three decomposition algorithms on a battery of instances drawn from three different applications. In order to preserve the commonalities among the algorithms in ...
2003-01-09Buch

A stochastic programming approach to power portfolio optimization

Sen, Suvrajeet; Yu, Lihua; Genc, Talat

The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...
2013-09-17Buch

Ancestral Benders' Cuts and Multi-term Disjunctions for Mixed-Integer Recourse Decisions in Stochastic Programming

Qi, Yunwei; Sen, Suvrajeet

This paper focuses on solving two-stage stochastic mixed integer programs (SMIPs) with general mixed integer decision variables in both stages. We develop a decomposition algorithm in which the first stage approximation ...
2017-07-31Buch

Learning Enabled Optimization: Towards a Fusion of Statistical Learning and Stochastic Optimization

Sen, Suvrajeet; Deng, Yunxiao

Several emerging applications, such as “Analytics of Things" and “Integrative Analytics" call for a fusion of statistical learning (SL) and stochastic optimization (SO). The Learning Enabled Optimization paradigm fuses ...
2014-04-16Buch

Mitigating Uncertainty via Compromise Decisions in Two-stage Stochastic Linear Programming

Sen, Suvrajeet; Liu, Yifan

Stochastic Programming (SP) has long been considered as a well-justified yet computationally challenging paradigm for practical applications. Computational studies in the literature often involve approximating a large ...
2002-02-21Buch

Multistage stochastic convex programs

Higle, Julia L.; Sen, Suvrajeet

In this paper, we study alternative primal and dual formulations of multistage stochastic convex programs (SP). The alternative dual problems which can be traced to the alterna-tive primal representations, lead to stochastic ...
2012-03-19Buch

Multistage Stochastic Decomposition: A Bridge between Stochastic Programming and Approximate Dynamic Programming

Sen, Suvrajeet; Zhou, Zhihong

Multi-stage stochastic programs (MSP) pose some of the more challenging optimizationproblems. Because such models can become rather intractable in general, it is important todesign algorithms that can provide approximations ...
2000-12-19Buch

The C 3 theorem and a D 2 algorithm for large scale stochastic integer programming

Sen, Suvrajeet; Higle, Julia L.

This paper considers the two stage stochastic integer programming problems, with an emphasis on problems in which integer variables appear in the second stage. Drawing heavily on the theory of disjunctive programming, we ...
2004-02-19Buch

The million-variable "march" for stochastic combinatorial optimization

Ntaimo, Lewis; Sen, Suvrajeet

Combinatorial optimization problems have applications in a variety of sciences and engineering. In the presence of data uncertainty, these problems lead to stochastic combinatorial optimization problems which result in ...