A computational method is developed for solving time consistent distributionally robust multistage stochastic linear programs with discrete distribution. The structure of the uncertain parameters described by a scenario tree. At each node this tree, an ambiguity set defined conditional moment constraints to guarantee consistency. This employs idea nested Benders decomposition that incorporates ...

An algorithm incorporating the logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a nite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.

This paper considers a class of stochastic resource allocation problems that requires simultaneously determining the customers that a capacitated resource must serve and the stock levels of multiple items that may be used in meeting these customers’ demands. Our model considers a reward (revenue) for serving each assigned customer, a variable cost for allocating each item to the resource, and a...

In a recent work, Muter et al. (2013a) identified and characterized a general class of linear programming (LP) problems known as problems with column-dependent-rows (CDR-problems). These LPs feature two sets of constraints with mutually exclusive groups of variables in addition to a set of structural linking constraints, in which variables from both groups appear together. In a typical CDR-prob...

This paper exploits the decomposition structure of large-scale hydrothermal generation expansion planning problem with an integrated modified Benders Decomposition and Progressive Hedging approach. We consider detailed realistic data from Brazilian power system to represent hourly chronological constraints based on typical days per month year. Also, we multistage stochastic nature optimal opera...

The design of resilient supply chains under the risk of disruptions at candidate locations for distribution centers (DCs) is formulated as a two-stage stochastic program. The problem involves selecting DC locations, determining storage capacities for multiple commodities, and establishing the distribution strategy in scenarios that describe disruptions at potential DCs. The objective is to mini...

We present a class of network design problems with underlying tree structure. The problem is formulated as a mixed nonlinear programming model including investment integer variables associated with the equipments to be installed and continuous variables associated with the use of the network. The generalized Benders decomposition method is used to solve it. In this article, we introduce simple ...

The design of telecommunication network with capacity constraints of links, routers and ports of routers is considered in this paper. Specially, we limit each demand flow traversed through a pre-specified maximal number of links (called hops) under node failure scenarios in IP layer network. Such a design must be the most cost-effective and ensure that feasible flows continue to exist even when...