Seminar Details:

LANS Informal Seminar
"Interior Point warmstarts and stochastic programming"

DATE: May 10, 2012

TIME: 10:30:00 - 11:30:00
SPEAKER: Andreas Grothey, Senior Lecturer, University of Edinburgh
LOCATION: Building 240, 4301, Argonne National Laboratory

Description:
We present progress on an Interior Point based multi-step solution approach for stochastic programming problems. Our approach works with a series of scenario trees that can be seen as successively more accurate discretizations of an underlying probability distribution and employs IPM warmstarts to "lift" approximate solutions from one tree to the next larger tree.


 

Please send questions or suggestions to Debojyoti Ghosh: ghosh at mcs dot anl dot gov.