INEXACT BUNDLE METHODS FOR STOCHASTIC PROGRAMMING

English

Séminaire Modèles et Algorithmes Déterministes

9/06/2011 - 09:00 Welington Oliveira Salle 1 - Tour IRMA

Stochastic programming problems arise in many practical situations. In general, the deterministic equivalents of these problems can be very large and may not be solvable directly by general-purpose optimization approaches. For the particular case of stochastic programs with recourse, we consider decomposition approaches that can handle inexactness in the subproblem solution. From a nonsmooth optimization perspective, these variants amount to applying bundle methods to oracles that give inaccurate values for the objective function and a subgradient.