RUTCOR Colloquia - December 15, 2005
Speaker: Andy Philpott
Affiliation: University of Auckland
Title: Solving Multi-Stage Stochastic Capacity-Planning Problems
Time: 2:00 - 3:00 PM
Location: RUTCOR Building - Lounge, Rutgers University, Busch Campus, Piscataway, NJ
Abstract:
We describe a general multi-stage stochastic integer-programming model for
planning the discrete capacity expansion of production facilities in a
situation in which a scenario tree represents uncertainty. A
split-variable reformulation of the basic model leads to a strong
Dantzig-Wolfe decomposition, whose efficiency we demonstrate on a
capacity-expansion model for electric power distribution. When a facility
can expand at most once over the planning horizon, a specialised model
yields substantial computational savings.
Joint work with Kavinesh Singh and Kevin Wood.
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