Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation

A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In this work, we develop an asynchronous, distributed implementation of the algorithm which...

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Vydáno v:2016 IEEE International Parallel and Distributed Processing Symposium Workshops (IPDPSW) s. 722 - 729
Hlavní autoři: Ryan, Kevin, Rajan, Deepak, Ahmed, Shabbir
Médium: Konferenční příspěvek
Jazyk:angličtina
Vydáno: IEEE 01.05.2016
Témata:
Algorithm design and analysis
Convergence
distributed memory algorithm
Distributed processing
Electronic mail
Parallel algorithms
scenario decomposition
Synchronization
two-stage stochastic mixed-integer programming
Upper bound
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Abstract A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In this work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous and asynchronous algorithm are proposed. We test the results on well known stochastic 0-1 programs from the SIPLIB test library and is able to solve one previously unsolved instance from the test set.
AbstractList A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In this work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous and asynchronous algorithm are proposed. We test the results on well known stochastic 0-1 programs from the SIPLIB test library and is able to solve one previously unsolved instance from the test set.
Author Ryan, Kevin
Rajan, Deepak
Ahmed, Shabbir
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  givenname: Deepak
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  givenname: Shabbir
  surname: Ahmed
  fullname: Ahmed, Shabbir
  email: sahmed@isye.gatech.edu
  organization: Georgia Inst. of Technol., Atlanta, GA, USA
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Snippet A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that...
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SubjectTerms Algorithm design and analysis
Convergence
distributed memory algorithm
Distributed processing
Electronic mail
Parallel algorithms
scenario decomposition
Synchronization
two-stage stochastic mixed-integer programming
Upper bound
Title Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation
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