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    PH - Algorithm (New)

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    mail.information0101
    The document describes a PH algorithm for solving multi-stage stochastic programs with recourse. The algorithm involves iteratively solving scenario subproblems and updating the solution and multipliers until satisfying nonanticipativity constraints. The example given involves 3 scenario subproblems that differ in their C2k matrices.

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    PH - Algorithm (New)

    Uploaded by

    mail.information0101
    4 views2 pages
    The document describes a PH algorithm for solving multi-stage stochastic programs with recourse. The algorithm involves iteratively solving scenario subproblems and updating the solution and multipliers until satisfying nonanticipativity constraints. The example given involves 3 scenario subproblems that differ in their C2k matrices.

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    PH_Algorithm (New)

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    The document describes a PH algorithm for solving multi-stage stochastic programs with recourse. The algorithm involves iteratively solving scenario subproblems and updating the solution and multipliers until satisfying nonanticipativity constraints. The example given involves 3 scenario subproblems that differ in their C2k matrices.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    4 views2 pages

    PH - Algorithm (New)

    Uploaded by

    mail.information0101
    The document describes a PH algorithm for solving multi-stage stochastic programs with recourse. The algorithm involves iteratively solving scenario subproblems and updating the solution and multipliers until satisfying nonanticipativity constraints. The example given involves 3 scenario subproblems that differ in their C2k matrices.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    PH Algorithm

    1. Step 0: Set s0 = 0 and λ 0 = perpendicular to s0 . Set i = 0.


    2. Step 1: For each k = 1, 2, 3, solve the scenario subproblems:
    ρ i,k
    min [(ci1 )T xi,k + (ci2 )T yi,k + (ci3 )T wi,k ] + λ i,k (xi,k − si ) + ∥x − si ∥2
    xi,k ,yi,k ,wi,k 2
    W1 xi,k ≤ r1i
    C2k xi,k +W2 yi,k + R2 wi,k ≤ r2i,k
    where i is for the iteration, k is for the scenario,
    xk = (x1k , x2k , x3k ),
    s = (s1 , s2 , s3 ),
    yk = (yk1 , yk2 ),
    wk = (wk1 , wk2 , wk3 , wk4 ).
    The only thing that is changing is C2k for each scenario k.
    3. Step 2: Stop if satisfy the nonanticipativity constraints (that is, xi,k = si ), other-
    wise go to step 3.
    4. Step 3: For stage 1, calculate the components of si+1 using xi,k as follows:
    3
    1
    si+1 = 3 ∑ xi,k .
    k=1

    5. Step 4: Calculate the multipliers λ i+1,k by λ i+1,k = λ i,k + ρ(xi,k − si+1 ).


    6. Step 5: Increase iteration i by 1 and go to step 1.
    In this algorithm, I want to enter initial values of s0 = (0, 0, 0), λ 0 = (0, 0, 0), p = 1, and
    the only changing values for each scenario which is in matrix C2k after running the code.

    For your understanding, 3 sceanrio subproblems are as follows:

    min 150x1 + 230x2 + 260x3 + 238y1 + 210y2 − 170w1 − 150w2 − 36w3 − 10w4
    s. t. x1 + x2 + x3 ≤ 500,
    − 3x1 − y1 + w1 ≤ −200,
    − 3.6x2 − y2 + w2 ≤ −240,
    − 24x3 + w3 + w4 ≤ 0,
    w3 ≤ 6000.
    (Scenario 1)

    1
    min 150x1 + 230x2 + 260x3 + 238y1 + 210y2 − 170w1 − 150w2 − 36w3 − 10w4
    s. t. x1 + x2 + x3 ≤ 500,
    − 2.5x1 − y1 + w1 ≤ −200,
    − 3x2 − y2 + w2 ≤ −240,
    − 20x3 + w3 + w4 ≤ 0,
    w3 ≤ 6000.
    (Scenario 2)

    min 150x1 + 230x2 + 260x3 + 238y1 + 210y2 − 170w1 − 150w2 − 36w3 − 10w4
    s. t. x1 + x2 + x3 ≤ 500,
    − 2x1 − y1 + w1 ≤ −200,
    − 2.4x2 − y2 + w2 ≤ −240,
    − 16x3 + w3 + w4 ≤ 0,
    w3 ≤ 6000.
    (Scenario 3)

    ci1 = 150
     i 
    210 , ci3 = −170 −150
       
    230  , c2 = 
    160 238 −36 −10 ,
    −1 0
       0 −1
    W1 = 1 1 1 , W2 =  0
    ,
    0
    0 0
     
    −200
    −240
    r1 = [500], r2 = 
     0 ,

    6000
     
    1 0 0 0
    0 1 0 0
    R2 = 0 0 1 1

    0 0 1 0
     
    −3 0 0
     0 −3.6 0 
    The input values I want to give after run the code are: C21 =  ,
    0 0 −24
    0 0 0
       
    −2.5 0 0 −2 0 0
     0 −3 , C3 =  0 −2.4
    0   0 
    C22 =  , ρ = 1, s0 = (0, 0, 0), λ = (0, 0, 0)
     0 0 −20 2  0 0 −16
    0 0 0 0 0 0

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