A new specialized interior-point method for solving large-scale multistage multiscale optimization problems under uncertainty
J. Castro, J. F. Monge, L. F. Escudero
A novel approach based on a specialized interior-point method (IPM) is presented for solving large-scale multistage stochastic continuous optimization problems, where uncertainty is represented in a finite set of scenarios structured in strategic multistage trees and two-stage ones rooted at the strategic nodes whose second-stage ones represent the operational scenarios. A powerful splitting variable modeling object is considered for the step variables. The core of the IPM is the solution of the Newton's direction by a mixture of Cholesky factorization and preconditioned conjugate gradient. Two types of applications are considered: supply network design and revenue management. Broad computational experience is presented, some instance’s dimensions are 880 million linear variables, 7 million quadratic variables, 22 million constraints, 3800 scenario tree nodes. Computing time for optinal solution: Proposed approach: 2.3 days requiring 167 Gb; and CPLEX v20.1: 23 days requiring 526 Gb.
Keywords: Interior Point Method, multistage multiscale stochastic continuous optimization.
Scheduled
GT11 Continuous Optimization I
June 9, 2022 10:10 AM
A12
Other papers in the same session
M. López Cerdá
M. Rodríguez Álvarez, J. Vicente-Pérez
J. Camacho Moro, M. J. Cánovas Cánovas, J. Parra López
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6/8/22
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Tomorrow, Thursday, we will visit the Alhambra. 1. At 7:00 p.m., buses will start leaving from the door of the Hotel Granada Center (in front of the door of the Faculty of Sciences) 2. Upon arrival, groups with guides will be organized. 3. There will be groups in English language. These groups will wait at the destination until the arrival of all buses. 4. After the visit to the Alhambra we will walk to the Carmen de los Mártires to have a cocktail. 5. On the way back, we can go back by bus, which will leave from the same place where they left us at the Alhambra. 6. Although the way to the Alhambra by bus seems long, it really is close to the city. We invite you, whoever wishes, to go down for a pleasant walk. 7. Do not forget to take your Alhambra ticket and your identity card or passport. The document must be the same whose number matches the ticket number you have.
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5/31/22
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5/27/22
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5/23/22
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5/16/22
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