A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties

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Vijay Gupta, Ignacio E. Grossmann

Published: 2014, Last Modified: 14 May 2025Comput. Chem. Eng. 2014EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: Highlights•Algorithm for solving multistage stochastic programs with endogenous uncertainties.•Goal is to strengthen Lagrangean decomposition for solving these problems.•Key idea is to perform partial decomposition by groups of scenarios.•Numerical results show that lower bounds are significantly strengthened.