Groupe d’études et de recherche en analyse des décisions

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.


Inscription obligatoire au plus tard le 8 novembre.

Pizza et boissons gazeuses fournies
Réservé aux étudiants
Maximum : 25 participants