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Control of Multiscale ModelsProgressive Hedging and Tabu Search Applied To Mixed Integer (0,1) Multi-Stage Stochastic Programming
Applied Math| Speaker: | David L. Woodruff, Graduate School of Management, UCD |
| Location: | 693 Kerr |
| Start time: | Tue, Nov 23 2004, 4:10PM |
Many problems faced by decision makers are characterized by a multi-stage decision process with uncertainty about the future and some decisions constrained to take on values of either zero or one (e.g., open a facility at a location or do not). In this talk, we describe the implementation of a general purpose method for finding good solutions to multi-stage, stochastic mixed integer (0,1) programming problems. The solution method makes use of Rockafellar and Wets' progressive hedging algorithm that averages solutions rather than data. Computational experiments will be discussed along with practical considerations.