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Operations Research, Systems Engineering and Industrial Engineering Commons

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Wayne State University

Wayne State University Dissertations

Capacitated Facility Location Problem, Flexibility for Supply Chain Disruptions, Hybrid algorithms, Progressive Hedging Algorithm, Stochastic Programming, Two Stage Stochastic Programming

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Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering

Sampling Based Progressive Hedging Algorithms For Stochastic Programming Problems, Nezir Aydin Jan 2012

Sampling Based Progressive Hedging Algorithms For Stochastic Programming Problems, Nezir Aydin

Wayne State University Dissertations

Many real-world optimization problems have parameter uncertainty. For instances where the uncertainties can be estimated to a certain degree, stochastic programming (SP) methodologies are used to identify robust plans. Despite advances in SP, it is still a challenge to solve real world stochastic programming problems, in part due to the exponentially increasing number of scenarios. For two-stage and multi-stage problems, the number of scenarios increases exponentially with the number of uncertain parameters, and for multi-stage problems also with the number of decision stages.

In the case of large scale mixed integer stochastic problem instances, there are usually two common approaches ...