Two methods of pruning Benders' cuts and their application to the management of a gas portfolio

Laurent Pfeiffer 1, 2 Romain Apparigliato 3 Sophie Auchapt 3
2 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
ENSTA ParisTech UMA - Unité de Mathématiques Appliquées, CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, Polytechnique - X, Univ. Paris-Saclay, ENSTA ParisTech - École Nationale Supérieure de Techniques Avancées, CNRS - Centre National de la Recherche Scientifique : UMR7641
Abstract : In this article, we describe a gas portfolio management problem, which is solved with the SDDP (Stochastic Dual Dynamic Programming) algorithm. We present some improvements of this algorithm and focus on methods of pruning Benders' cuts, that is to say, methods of picking out the most relevant cuts among those which have been computed. Our territory algorithm allows a quick selection and a great reduction of the number of cuts. Our second method only deletes cuts which do not contribute to the approximation of the value function, thanks to a test of usefulness. Numerical results are presented.
Document type :
[Research Report] RR-8133, INRIA. 2012, pp.23
Contributor : Laurent Pfeiffer <>
Submitted on : Monday, November 19, 2012 - 2:21:25 PM
Last modification on : Saturday, September 17, 2016 - 1:36:56 AM
Document(s) archivé(s) le : Thursday, February 21, 2013 - 11:25:41 AM


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Laurent Pfeiffer, Romain Apparigliato, Sophie Auchapt. Two methods of pruning Benders' cuts and their application to the management of a gas portfolio. [Research Report] RR-8133, INRIA. 2012, pp.23. <hal-00753578>




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