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Scenario analysis via bundle decomposition

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Abstract

Scenario analysis, originally proposed by Rockafellar and Wets, is a widely applicable method for introducing uncertainty into practical decision problems. As it often leads to very large optimization problems, one needs special techniques for the resulting numerical computation. One such technique, the Progressive Hedging Algorithm, is simple and universally applicable, but it can be slow. In this paper we show how the bundle decomposition method can be applied to linear or convex scenario analysis problems that are loosely coupled. We illustrate its effectiveness by presenting computational results for military force planning problems and for multi-scenario network models of production planning.

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Authors and Affiliations

  1. Department of Industrial Engineering, University of Wisconsin — Madison, 53706-1572, Madison, WI, USA

    Bock Jin Chun & Stephen M. Robinson

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  1. Bock Jin Chun
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  2. Stephen M. Robinson
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Additional information

The research reported here was sponsored by the National Science Foundation under Grant CCR-9109345, by the Air Force Systems Command, USAF, under Grants AFOSR-91-0089 and F49620-93-1-0068, by the US Army Research Office under Contract DAAL03-89-K-0149 and Grant No. DAAL03-92-G-0408, and by the US Army Space and Strategic Defense Command under Contract No. DASG60-91-C-0144. The US Government has certain rights in this material, and is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright notation thereon.

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Chun, B.J., Robinson, S.M. Scenario analysis via bundle decomposition. Ann Oper Res 56, 39–63 (1995). https://doi.org/10.1007/BF02031699

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