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Presentation
Comparison of Efficient Methods for Solving a Large-Scale Multistage Stochastic Program
Proceedings of the 2009 Industrial Engineering Research Conference
  • Yan Wang, Iowa State University
  • Sarah M. Ryan, Iowa State University
Document Type
Conference Proceeding
Publication Version
Published Version
Publication Date
1-1-2009
Conference Title
IIE Annual Conference
Conference Date
2009
Abstract

We use a rolling two-stage procedure for solving a multistage stochastic program to assess the effects of uncertain fuel costs on optimal energy flows in the U.S. The optimal solution to the largest deterministic equivalent is obtained via Benders decomposition. We apply methods including temporal aggregation and scenario reduction to find approximate solutions which require less computational effort. These methods exploit both the network structure of the model and the multistage nature of forecast revision and uncertainty resolution. We evaluate the approximations based on similarity of the effects of uncertainty on the optimal flows compared to the exact solution.

Comments

This is a proceeding published as Yan Wang, Sarah M. Ryan, Comparison of Efficient Methods for Solving a Large-Scale Multistage Stochastic Program. Proceedings of the 2009 Industrial Engineering Research Conference. 2009. Posted with permission.

Copyright Owner
IIE
Language
en
File Format
application/pdf
Citation Information
Yan Wang and Sarah M. Ryan. "Comparison of Efficient Methods for Solving a Large-Scale Multistage Stochastic Program" Proceedings of the 2009 Industrial Engineering Research Conference (2009)
Available at: http://works.bepress.com/sarah_m_ryan/104/