ALOP Colloquium with Boris Detienne

On Monday, February 26, 2024 at 16:00 c.t. Prof. Boris Detienne, University of Bordeaux, will speak at the ALOP Colloquium about his recent work.

The Benders-by-batch algorithm to solve two-stage stochastic linear programs

Abstract:

In this talk, we will introduce a new exact algorithm to solve two-stage stochastic linear programs. Based on the multicut Benders reformulation of such problems, with one subproblem for each scenario, this method relies on a partition of the subproblems into batches. The key idea is to solve at most iterations only a small proportion of the subproblems by detecting as soon as possible that a first-stage candidate solution cannot be proven optimal. We also propose a general framework to stabilize our algorithm, and show its finite convergence and exact behavior. We report an extensive computational study on large-scale instances of stochastic optimization literature that shows the efficiency of the proposed algorithm compared to nine alternative algorithms from the literature. We also obtain significant additional computational time savings using the primal stabilization schemes

Please join us at 16:00 c.t. in HS 9.