Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method |
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Authors: | Christian Wolf Achim Koberstein |
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Institution: | 1. DS&OR Lab, University of Paderborn, Warburger Str. 100, 33098 Paderborn, Germany;2. Goethe University Frankfurt, Grüneburgplatz 1, 60323 Frankfurt am Main, Germany |
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Abstract: | The nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, which is developed within the COIN-OR framework. We show on a test set of 51 two-stage and 42 multi-stage problems, that both of the developed techniques lead to significant speed ups in computation time. |
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Keywords: | Stochastic programming Nested L-shaped method Sequencing protocols Cut consolidation |
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