A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure

A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete distribution. The stochastic structure of the uncertain parameters is described by a scenario tree. At each node of this tree, an ambiguity set is defined by co...

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Main Authors: Yu, H., Sun, Jie, Wang, Y.
Format: Journal Article
Language:English
Published: SPRINGER 2021
Subjects:
Online Access:http://hdl.handle.net/20.500.11937/91429
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author Yu, H.
Sun, Jie
Wang, Y.
author_facet Yu, H.
Sun, Jie
Wang, Y.
author_sort Yu, H.
building Curtin Institutional Repository
collection Online Access
description A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete distribution. The stochastic structure of the uncertain parameters is described by a scenario tree. At each node of this tree, an ambiguity set is defined by conditional moment constraints to guarantee time consistency. This method employs the idea of nested Benders decomposition that incorporates forward and backward steps. The backward steps solve some conic programming problems to approximate the cost-to-go function at each node, while the forward steps are used to generate additional trial points. A new framework of convergence analysis is developed to establish the global convergence of the approximation procedure, which does not depend on the assumption of polyhedral structure of the original problem. Numerical results of a practical inventory model are reported to demonstrate the effectiveness of the proposed method.
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institution Curtin University Malaysia
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publishDate 2021
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spelling curtin-20.500.11937-914292023-05-03T07:25:23Z A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure Yu, H. Sun, Jie Wang, Y. Science & Technology Technology Physical Sciences Operations Research & Management Science Mathematics, Applied Mathematics Multistage stochastic programming Distributionally robust Scenario tree model Decomposition method LINEAR-PROGRAMS CONVERGENCE ALGORITHM SELECTION A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete distribution. The stochastic structure of the uncertain parameters is described by a scenario tree. At each node of this tree, an ambiguity set is defined by conditional moment constraints to guarantee time consistency. This method employs the idea of nested Benders decomposition that incorporates forward and backward steps. The backward steps solve some conic programming problems to approximate the cost-to-go function at each node, while the forward steps are used to generate additional trial points. A new framework of convergence analysis is developed to establish the global convergence of the approximation procedure, which does not depend on the assumption of polyhedral structure of the original problem. Numerical results of a practical inventory model are reported to demonstrate the effectiveness of the proposed method. 2021 Journal Article http://hdl.handle.net/20.500.11937/91429 10.1007/s10589-021-00266-7 English SPRINGER fulltext
spellingShingle Science & Technology
Technology
Physical Sciences
Operations Research & Management Science
Mathematics, Applied
Mathematics
Multistage stochastic programming
Distributionally robust
Scenario tree model
Decomposition method
LINEAR-PROGRAMS
CONVERGENCE
ALGORITHM
SELECTION
Yu, H.
Sun, Jie
Wang, Y.
A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title_full A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title_fullStr A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title_full_unstemmed A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title_short A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
title_sort time-consistent benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
topic Science & Technology
Technology
Physical Sciences
Operations Research & Management Science
Mathematics, Applied
Mathematics
Multistage stochastic programming
Distributionally robust
Scenario tree model
Decomposition method
LINEAR-PROGRAMS
CONVERGENCE
ALGORITHM
SELECTION
url http://hdl.handle.net/20.500.11937/91429