Group for Research in Decision Analysis

The L-shaped method: A tutorial

Jesús Andrés Rodríguez Sarasty Polytechnique Montréal, Canada

In this talk, we discuss a decomposition approach that exploits the dual block angular structure (with complicating variables) of stochastic programming problems. Throughout an industrial application example, we discuss the implementation challenges and the refinements to this method, such as acceleration strategies and parallelization.


Registration no later than November 8th.

Pizza and soft drinks offered
For students only
Maximum: 25 participants