Generalized adaptive partition-based method for two-stage stochastic linear programs : Geometric oracle and analysis

Adaptive Partition-based Methods (APM) are numerical methods that solve, in particular, two-stage stochastic linear problems (2SLP). We say that a partition of the uncertainty space is adapted to the current first stage control x over titlde if we can aggregate scenarios while conserving the true value of the expected recourse cost at x over titlde. The core idea of APM is to iteratively construct an adapted partition to all past tentative first stage controls. Relying on the normal fan of the dual admissible set, we give a necessary and sufficient condition for a partition to be adapted even for non-finite distribution, and provide a geometric method to obtain an adapted partition. Further, by showing the connection between APM and the L-shaped algorithm, we prove convergence and complexity bounds of the APM methods. The paper presents the fixed recourse case and ends with elements to forgo this assumption. (C) 2022 Elsevier B.V. All rights reserved.