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LANS Informal Seminar: Andreas Grothey
May 10, 2012 @ 10:30 CDT
Seminar Title: Interior Point warmstarts and stochastic programming
Speaker: Andreas Grothey, Senior Lecturer, University of Edinburgh
Date/Time: 2012-05-10 10:30
Location: Building 240, 4301
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.