Interior Point warmstarts and stochastic programming
|
Thu, 26/01/2012 14:00 |
Dr Andreas Grothey (University of Edinburgh) |
Computational Mathematics and Applications  |
Gibson Grd floor SR |
| We present progress on an Interior Point based multi-step solution approach for stochastic programming problems. Our approach works with a series of scenario trees that can be seen as successively more accurate discretizations of an underlying probability distribution and employs IPM warmstarts to "lift" approximate solutions from one tree to the next larger tree. | |||