
	MOPTA 05 July 25-27, 2005, Windsor ON Canada



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MOPTA 05 Presentation Information

Title:		Analytic Center Cutting Plane Method for Multi-Stage Stochastic Programming

Presenter:		Leila Rasekh
Presenter's Affiliation:		PhD Student, Department of Management, Mcgill university
Presenter's E-mail address:		lila. rasekh@mail.mcgill.ca, leila_rasekh@yahoo.ca
Authors:		Leila Rasekh, Prof. Jean-Louis Goffin
Abstract (100 words or less):		Stochastic Programming with recourse is the most important class of models in mathematical programming with uncertain parameters. Analytic Center Cutting Plane Method (ACCPM) applied to Multi-Stage stochastic programming exploits the recourse structure. ACCPM is highly effective iterative algorithm. In each iteration, a new cut of a polytope is generated. This cut corresponds to a supporting hyperplane of the epigraph of the function to be minimized. It is generated at the analytic center of the set of localization. The cut is then added to the relaxed master problem to further shrink the localization set. The method has polynomial-time complexity and it is able to exploit the special structure of stochastic programing. The method has performed well in many applications.

Winsorpres01.ppt