Clara Lage (Paris 1, IMPA et ENGIE) - Multiplier Stabilization Applied to Two-Stage Stochastic Programs
In many mathematical optimization applications dual variables are an important output of the solving process, due to their role as price signals. When dual solutions are not unique, different solvers or different computers, even different runs in the same computer if the problem is stochastic, often end up with different optimal multi-pliers that also depend on the discretization of the data.
From the perspective of a decision maker, this variability makes the price signals less reliable and, Read more [...]
