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Parallel Decomposition of Large-Scale Stochastic Nonlinear Programs

John R. Birge

Department of Industrial and Operations Engineering, University of Michigan Ann Arbor, MI 48109, USA

Charles H. Rosa

International Institute for Applied Systems Analysis A-2361 Laxenburg, Austria

Abstract: Many practical decision problems involve both nonlinear relationships and uncertainties. The resulting stochastic nonlinear programs become quite difficult to solve as the number of possible scenarios increases. In this paper, we provide a decomposition method for problems in which nonlinear constraints appear within periods. We also show how the method extends to upper bounding refinements of the set of scenarios when the random data are independent from period to period. We then apply the method to a stochastic model of the U.S. economy based on the Global 2100 method developed by Manne and Richels.

Key words: decomposition,economics, environment, parallel computation, stochastic programming



This paper is a technical report in the Department of Industrial and Operations Engineering, University of Michigan. For a postscript version of the full paper, click here.

jrbirge@umich.edu
Fri Mar 3 12:04:33 EST 1995