Benders, Nested Benders and Stochastic Programming: An Intuitive Introduction
Abstract
This article aims to explain the Nested Benders algorithm for the solution of largescale stochastic programming problems in a way that is intelligible to someone coming to it for the first time. In doing so it gives an explanation of Benders decomposition and of its application to twostage stochastic programming problems (also known in this context as the Lshaped method), then extends this to multistage problems as the Nested Benders algorithm. The article is aimed at readers with some knowledge of linear and possibly stochastic programming but aims to develop most concepts from simple principles in an understandable way. The focus is on intuitive understanding rather than rigorous proofs.
 Publication:

arXiv eprints
 Pub Date:
 December 2013
 arXiv:
 arXiv:1312.3158
 Bibcode:
 2013arXiv1312.3158M
 Keywords:

 Mathematics  Optimization and Control;
 Computer Science  Data Structures and Algorithms
 EPrint:
 57 pages, 21 figures