This process is easily expanded to stochastic programming.

The optimal value fro

m the
master problem is sent to the multi-scenario optimality problem. The process is
exactly the
same as in the deterministic case, except that all the optimality cuts and the o
ptimal value from
the optimality problem are weighted by the probability of the scenario. The more
complicated
case would be the scenario tree.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
A typical procedure using Benders decomposition is illustrated in Fig.3.2. First
, a largescale and complex problem, which is hard or impossible to solve as a wh
ole, is studied to
decide how to formulate the master problem, feasibility subproblem and optimalit
y subproblem. During this step, the coupled constraints need to be carefully det
ermined. Second, the
solution algorithms or solvers for different subproblems should be decided. Alth
ough different
subproblems can utilize different algorithms or solvers, the requirement is that
the algorithms
or solvers for the feasibility and optimality subproblem need to provide Lagrang
e multipliers.
Third, the Benders process and Benders rule are used to obtain the final solutio
n.
In solving (3.4a), if the objective function is nonzero, implying that the origi
nal problem is
not feasible, the feasibility cut (? + ?E(x
*
- x) = 0) is generated. The physical meaning of this
cut is as follows: moving x around the x
*
along the direction of the gradient (?E) to make the
? to be zero. For better understanding, the feasibility cut can be put into the
form of Newton
method (the = is changed to =), as x = x
*
+(?E)
-1
? (x
*
), which is for solving ? (x) = 0. The
graph to describe this is shown in Fig.3.3.
From the feasibility cut, it is easy to find that x = 4. The procedure is furthe
r explained
in Fig.3.4. The left part is the feasible region of the dual problem (3.17), whi
ch will not be
affected by the results of the master problem according to (3.10). But when the
master problem
sends different results, the objective function is different, which causes the o
ptimal value of
the optimality problem to jump among all the three candidate vertexes. In the ri
ght plot, the
estimation of the a as a function of x is plotted according the right plot. Afte
r this procedure
the master problem becomes a mixed integer programming problem that only depends
on x.
Due to the non-convexity of the integer problem this problem has multiple soluti
ons.
From the optimality cuts information we can obtain the same results as shown in
Table.3.2.
The underlined values are correponding to the square point in Fig.3.4
The core part of Benders decomposition is to obtain a(x), which is based on dual
theory.
One brilliant aspect of this algorithm is that the dual problem has a constant f
easible region
and the optimal value of the optimality problem has to on one of the vertexes of
this constant
region.