On a Sampling-based Decomposition Algorithm Under Aggregate Interstage Dependency Model
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In this talk, we presented an extension of the cut-sharing procedure to deal with aggregate interstage dependency models in multi-stage stochastic programs. We perform a computational study of the stochastic hydro-thermal scheduling problem in order to analyze the computational efficiency of both formulations as the problem size scales large. We also present a parallel programming version of a Sampling-based decomposition algorithm used to solve these multi-stage stochastic programs.