Interior Point warmstarts and stochastic programming

26 January 2012
Dr Andreas Grothey
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.
  • Computational Mathematics and Applications Seminar