SCENARIO ANALYSIS VIA BUNDLE DECOMPOSITION

Scenario analysis, originally proposed by Rockafellar and Wets, is a widely applicable method for introducing uncertainty into practical decision problems. As it often leads to very large optimization problems, one needs special techniques for the resulting numerical computation. One such technique, the Progressive Hedging Algorithm, is simple and universally applicable, but it can be slow. In this paper we show how the bundle decomposition method can be applied to linear or convex scenario analysis problems that are loosely coupled. We illustrate its effectiveness by presenting computational results for military force planning problems and for multi-scenario network models of production planning.