Seminar in applied mathematics and statistics

SPEAKER: Giovanni Pantuso, DTU

TITLE: Re-thinking Benders decomposition for two-stage stochastic programs

ABSTRACT:
Benders decomposition has been widely applied to solve two-stage stochastic programs. Recent improvements in computing power make it possible to re-think the classical Benders decomposition strategy, by formulating heavier master problems. The recent idea of a "partial Benders decomposition'' has been tested against its original paradigm on two real life stochastic programs. Preliminary results show that "partial Benders decomposition" has the potential to significantly improve classical Benders decomposition.

Tea and chocolate will be served in room 04.3.15 after the seminar.