论文标题
Benders的自适应切割方法,用于两阶段随机程序
Benders Adaptive-Cuts Method for Two-Stage Stochastic Programs
论文作者
论文摘要
Benders分解是用大量场景解决两阶段随机问题(TSSP)的最应用方法之一。 Benders分解背后的主要思想是通过用单个变量替换第二阶段子问题的值来解决一个大问题,并逐渐迫使这些变量达到子问题的最佳值,并动态插入其他有效的约束,称为弯曲者剪切。大多数传统实现都为每种情况(多切割)或包含所有方案的单一切割增加了一个削减。在本文中,我们提出了一种新颖的弯曲器自适应切割方法,其中弯曲者的切割是根据场景的分区进行聚合的,该方法是使用子问题的LP二偶有信息进行动态完善的。此方案聚集/分类基于已成功应用于TSSP的广义自适应分区方法(GAPM)。我们通过提供足够的条件,在有限数量的迭代中获得确定性等效物的最佳解决方案,使弯曲器分解和GAPM的这种杂交正式化。我们的新方法可以解释为弯曲器单切口和多切割方法之间的折衷,通过使双方优势借鉴双方的优势,通过使初始迭代更快(至于单切口弯曲器)并确保整体更快的收敛速度(至于多切口弯曲器)。在三个TSSP上进行的计算实验验证了这些陈述,表明新方法的表现优于Benders方法的其他实现,以及解决TSSP的其他标准方法,尤其是当场景数量很大时。
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.