Abstract:Adaptive Partition-based Methods (APM) are numerical methods to solve two-stage stochastic linear problems (2SLP). The core idea is to iteratively construct an adapted partition of the space of alea in order to aggregate scenarios while conserving the true value of the cost-to-go for the current first-stage control. Relying on the normal fan of the dual admissible set, we extend the classical and generalized APM method by i) extending the method to almost arbitrary 2SLP, ii) giving a necessary and sufficient c… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.