Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: An application to the strategic bidding problem

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Dynamic convexification within nested Benders decomposition using Lagrangian relaxation: An application to the strategic bidding problem

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作者：Gregory Steeger ; Steffen Rebennack ; ^{srebenna@mines.edu" class="auth_mail" title="E-mail the corresponding author}
关键词：Lagrangian relaxation ; Mixed-integer linear programming ; Benders decomposition ; Hydroelectric scheduling ; Strategic bidding problem ; Stochastic dual dynamic programming
刊名：European Journal of Operational Research
出版年：2017
出版时间：1 March 2017
年：2017
卷：257
期：2
页码：669-686
全文大小：931 K

文摘

•: We propose the pairing of Lagrangian relaxation with Benders decomposition.
•: The developed algorithm is a dynamic convexification scheme.
•: The method yields stronger bounds than any LP relaxation.
•: We apply the algorithm towards a single-price maker strategic bidding problem.
•: We provide case studies for El Salvador, Honduras, and Nicaragua.

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