XVII th Conference on Stochastic Programming

Session

Chance-constrained programming

CCP

Non programmé

32. Statistical Performance of Subgradient Step-Size Update Rules in Lagrangian Relaxations of Chance-Constrained Optimization Models

Dr Bismark Singh (University of Southampton)

Chance-constrained programming

Contributed talk

Lagrangian relaxation schemes, coupled with a subgradient procedure, are frequently employed to solve chance-constrained optimization models. Subgradient procedures typically rely on step-size update rules. Although there is extensive research on the properties of these step-size update rules, there is little consensus on which rules are most suitable practically; especially, when the...