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Control of Multiscale ModelsProgressive Hedging and Tabu Search Applied To Mixed Integer (0,1) Multi-Stage Stochastic Programming
Applied Math| Speaker: | David L. Woodruff, Graduate School of Management, UCD |
| Location: | 693 Kerr |
| Start time: | Tue, Nov 23 2004, 4:10PM |
Description
Many problems faced by decision makers are characterized by a multi-stage
decision process with uncertainty about the future and some decisions
constrained to take on values of either zero or one (e.g., open a facility
at a location or do not).
In this talk, we describe the implementation of a general purpose
method for finding good solutions to multi-stage, stochastic mixed
integer (0,1) programming problems.
The solution method makes use of Rockafellar and Wets' progressive hedging
algorithm that averages solutions rather than data. Computational experiments
will be discussed along with practical considerations.