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Title: Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation

Abstract

We recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In our work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous and asynchronous algorithm are proposed. We also test the results on well known stochastic 0-1 programs from the SIPLIB test library and is able to solve one previously unsolved instance from the test set.

Authors:
 [1];  [2];  [1]
  1. Georgia Inst. of Technology, Atlanta, GA (United States)
  2. Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
Publication Date:
Research Org.:
Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
Sponsoring Org.:
USDOE
OSTI Identifier:
1321429
Report Number(s):
LLNL-JRNL-678424
Grant/Contract Number:  
AC52-07NA27344; N00014-15-1-2078
Resource Type:
Accepted Manuscript
Journal Name:
Parallel and Distributed Processing Symposium (IPDPS) Workshops, 2016 IEEE International
Additional Journal Information:
Journal Name: Parallel and Distributed Processing Symposium (IPDPS) Workshops, 2016 IEEE International; Conference: 2016 International Parallel and Distributed Processing Symposium (IPDPS) Workshops, 23-27 May 2016
Publisher:
IEEE
Country of Publication:
United States
Language:
English
Subject:
97 MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE

Citation Formats

Ryan, Kevin, Rajan, Deepak, and Ahmed, Shabbir. Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation. United States: N. p., 2016. Web. doi:10.1109/IPDPSW.2016.119.
Ryan, Kevin, Rajan, Deepak, & Ahmed, Shabbir. Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation. United States. doi:10.1109/IPDPSW.2016.119.
Ryan, Kevin, Rajan, Deepak, and Ahmed, Shabbir. Sun . "Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation". United States. doi:10.1109/IPDPSW.2016.119. https://www.osti.gov/servlets/purl/1321429.
@article{osti_1321429,
title = {Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation},
author = {Ryan, Kevin and Rajan, Deepak and Ahmed, Shabbir},
abstractNote = {We recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In our work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous and asynchronous algorithm are proposed. We also test the results on well known stochastic 0-1 programs from the SIPLIB test library and is able to solve one previously unsolved instance from the test set.},
doi = {10.1109/IPDPSW.2016.119},
journal = {Parallel and Distributed Processing Symposium (IPDPS) Workshops, 2016 IEEE International},
number = ,
volume = ,
place = {United States},
year = {2016},
month = {5}
}

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