Lecture

Stochastic Programs: Problem Formulation

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Description

This lecture covers the problem formulation of 2-stage stochastic programs, focusing on costs associated with decisions, constraints for first and second-stage decisions, and the objective of minimizing expected costs. The instructor discusses the large number of variables and constraints, the characteristic structure of the problem, and the Benders decomposition algorithm for delayed constraint generation.

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Related concepts (32)

Travelling salesman problem

The travelling salesman problem (TSP) asks the following question: "Given a list of cities and the distances between each pair of cities, what is the shortest possible route that visits each city exactly once and returns to the origin city?" It is an NP-hard problem in combinatorial optimization, important in theoretical computer science and operations research. The travelling purchaser problem and the vehicle routing problem are both generalizations of TSP.

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In operations research, the cutting-stock problem is the problem of cutting standard-sized pieces of stock material, such as paper rolls or sheet metal, into pieces of specified sizes while minimizing material wasted. It is an optimization problem in mathematics that arises from applications in industry. In terms of computational complexity, the problem is an NP-hard problem reducible to the knapsack problem. The problem can be formulated as an integer linear programming problem.

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