Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization

•A Multistage scenario Cluster Dualization and Lagrangean Relaxation is presented.•Time Stochastic Dominance (TSD) risk averse measure is considered.•Dualization of the NAC and Relaxation of the cross node constraints are considered.•Three Lagrangean multipliers updating procedures are presented.•A...

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Bibliographic Details
Published in:	Computers & operations research Vol. 85; pp. 154 - 171
Main Authors:	Escudero, Laureano F., Garín, María Araceli, Unzueta, Aitziber
Format:	Journal Article
Language:	English
Published:	New York Elsevier Ltd 01.09.2017 Pergamon Press Inc
Subjects:	Cluster Lagrangean problem Clusters Computing time Decomposition Dominance Dynamic Constrained Cutting Plane algorithm Economic models Lower bounds Multipliers Multistage Multistage stochastic mixed 0–1 optimization Operations research Probability theory Progressive Hedging algorithm Risk Splitting Subgradient method Thresholds Time stochastic dominance risk averse measure Traveling salesman problem Time stochastic dominance risk averse measure Dynamic Constrained Cutting Plane algorithm Multistage stochastic mixed 0–1 optimization Cluster Lagrangean problem Subgradient method Progressive Hedging algorithm
ISSN:	0305-0548, 1873-765X, 0305-0548
Online Access:	Get full text
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