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LShapedSolvers

A collection of structured optimization algorithms for two-stage (L-shaped) stochastic programs, written in Julia.

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LShapedSolvers

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LShapedSolvers is a collection of structured optimization algorithms for two-stage (L-shaped) stochastic recourse problems. All algorithm variants are based on the L-shaped method by Van Slyke and Wets. LShapedSolvers interfaces with StochasticPrograms.jl, and a given recourse model sp is solved effectively through

julia> using LShapedSolvers

julia> solve(sp,solver=LShapedSolver(ClpSolver()))
L-Shaped Gap  Time: 0:00:01 (4 iterations)
  Objective:       -855.8333333333358
  Gap:             2.1229209144670507e-15
  Number of cuts:  5
:Optimal

Note, that an LP capable AbstractMathProgSolver is required to solve emerging subproblems. Solver objects are obtained through the factory method LShapedSolver. The following variants of the L-shaped algorithm are implemented:

  1. L-shaped with multiple cuts (default): regularization = :none (default)
  2. L-shaped with regularized decomposition: regularization = :rd
  3. L-shaped with trust region: regularization = :tr
  4. L-shaped with level sets: regularization = :lv

Note, that :rd and :lv both require a QP capable AbstractMathProgSolver for the master problems. If not available, setting the linearize keyword to true is an alternative.

In addition, there is a distributed variant of each algorithm, which requires adding processes with addprocs prior to execution. The distributed variants are obtained by supplying distributed = true to LShapedSolver.

Each algorithm has a set of parameters that can be tuned prior to execution. For a list of these parameters and their default values, use ? in combination with the solver object. For example, ?LShaped gives the parameter list of the default L-shaped algorithm. For a list of all solvers and their handle names, use ?LShapedSolver.

LShapedSolvers.jl includes a set of crash methods that can be used to generate the initial decision by supplying functor objects to LShapedSolver. Use ?Crash for a list of available crashes and their usage.

References

  1. Van Slyke, R. and Wets, R. (1969), L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming, SIAM Journal on Applied Mathematics, vol. 17, no. 4, pp. 638-663.

  2. Ruszczyński, A (1986), A regularized decomposition method for minimizing a sum of polyhedral functions, Mathematical Programming, vol. 35, no. 3, pp. 309-333.

  3. Linderoth, J. and Wright, S. (2003), Decomposition Algorithms for Stochastic Programming on a Computational Grid, Computational Optimization and Applications, vol. 24, no. 2-3, pp. 207-250.

  4. Fábián, C. and Szőke, Z. (2006), Solving two-stage stochastic programming problems with level decomposition, Computational Management Science, vol. 4, no. 4, pp. 313-353.

First Commit

04/06/2018

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6 months ago

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