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arXiv 2203.00752math.OC
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两阶段随机规划的Benders自适应割方法

Benders Adaptive-Cuts Method for Two-Stage Stochastic Programs

Cristian Ramírez-Pico, Ivana Ljubić, Eduardo Moreno

摘要:

Benders分解是求解具有大量场景的两阶段随机问题(TSSP)最常用的方法之一。Benders分解背后的主要思想是通过用个体变元替换第二阶段子问题的值来解决一个大问题,并逐步迫使这些变量达到子问题的最优值,动态插入额外的有效约束,称为Benders cuts。大多数传统的实现为每个场景添加一个剪切(多剪切)或包括所有场景的单剪切。在本文中,我们提出了一种新的Benders自适应切割方法,其中Benders切割聚合根据分区的情况下,这是动态细化使用LP对偶信息的子问题。这种情况下的聚合/解聚是基于广义自适应分区方法(GAPM),它已成功地应用于TSSP。我们正式这种杂交的Benders分解和GAPM,通过提供充分条件下,确定性等价的最优解,可以在有限数量的迭代。我们的新方法可以被解释为Benders单切口和多切口方法之间的折衷,利用双方的优势,通过使初始迭代更快(对于单切口Benders)并确保整体更快的收敛(对于多切口Benders)。对三个TSSP的计算实验验证了这些陈述,表明新方法优于Benders方法的其他实现,以及用于求解TSSP的其他标准方法,特别是当场景数量非常大时。

英文摘要:

Benders decomposition is one of the most applied methods to solve two-stage stochastic problems (TSSP) with a large number of scenarios. The main idea behind the Benders decomposition is to solve a large problem by replacing the values of the second-stage subproblems with individual variables, and progressively forcing those variables to reach the optimal value of the subproblems, dynamically inserting additional valid constraints, known as Benders cuts. Most traditional implementations add a cut for each scenario (multi-cut) or a single-cut that includes all scenarios. In this paper we present a novel Benders adaptive-cuts method, where the Benders cuts are aggregated according to a partition of the scenarios, which is dynamically refined using the LP-dual information of the subproblems. This scenario aggregation/disaggregation is based on the Generalized Adaptive Partitioning Method (GAPM), which has been successfully applied to TSSPs. We formalize this hybridization of Benders decomposition and the GAPM, by providing sufficient conditions under which an optimal solution of the deterministic equivalent can be obtained in a finite number of iterations. Our new method can be interpreted as a compromise between the Benders single-cuts and multi-cuts methods, drawing on the advantages of both sides, by rendering the initial iterations faster (as for the single-cuts Benders) and ensuring the overall faster convergence (as for the multi-cuts Benders). Computational experiments on three TSSPs validate these statements, showing that the new method outperforms the other implementations of Benders method, as well as other standard methods for solving TSSPs, in particular when the number of scenarios is very large.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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