An introduction to stochastic programming including a brief review of linear programming is presented. Stochastic programming problems have a sparsity structure that can be exploited through algorithmic decomposition. One such method to decompose the problem is called the L-Shaped Method. An overview, example, and possibly proof (time permitting) of this popular algorithm to solve such problems is presented.
Meeting ID: 931 9296 4149 | Password: GAUSS
GAUSS will meet Tuesdays at 3:30-4:20 PM in Fall 2021, unless otherwise noted.