Friday, 15:45 - 16:10 h, Room: H 2033

 

Emre Celebi
An approximation algorithm for Benders decomposition of variational inequality problems

 

Abstract:
In this talk, we examine an approximate solution of the master problem in Benders decomposition method for large-scale equilibrium models formulated as VI problems. We have used exact or approximate analytic center cutting plane method (ACCPM) within the Benders decomposition of VI problems in order to reduce the computational effort. ACCPM allows for adding another cut to the Benders master problem along with the cut obtained from the dual information of the subproblem. This cut can be calculated (or approximated) from the analytic center of the feasible region of the master problem at each iteration of Benders decomposition. This approach may lead to improvements in the speed of the algorithm compared to the original Benders or Dantzig-Wolfe decomposition of VI problems. A realistic electricity market price simulation model is used to test the algorithm and preliminary results are presented.

 

Talk 2 of the invited session Fri.3.H 2033
"Decomposition methods and applications" [...]
Cluster 11
"Integer & mixed-integer programming" [...]

 

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