Seminar series
Date
Thu, 26 Jan 2012
Time
14:00 -
15:00
Location
Gibson Grd floor SR
Speaker
Dr Andreas Grothey
Organisation
University of Edinburgh
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.