Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs

Abstract

This paper focuses on Benders decomposition techniques and Monte Carlo sampling (importance sampling) for solving two-stage stochastic linear programs with recourse, a method first introduced by Dantzig and Glynn [7]. The algorithm is discussed and further developed. The paper gives a complete presentation of the method as it is currently implemented. Numerical results from test problems of different areas are presented. Using small test problems, we compare the solutions obtained by the algorithm with universe solutions. We present the solutions of large-scale problems with numerous stochastic parameters, which in the deterministic formulation would have billions of constraints. The problems concern expansion planning of electric utilities with uncertainty in the availabilities of generators and transmission lines and portfolio management with uncertainty in the future returns.

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Infanger, G. Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs. Ann Oper Res 39, 69–95 (1992). https://doi.org/10.1007/BF02060936

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Keywords

  • Test Problem
  • Importance Sampling
  • Decomposition Algorithm
  • Monte Carlo Sampling
  • Future Return