DECOMPOSITION APPROACH APPLIED TO STOCHASTIC OPTIMIZATION OF CONTINUOUS STEEL CASTING

The purpose of the paper is to present an original stochastic programming approach based on the implementation of the decomposition algorithm for continuous casting problem. The uncertain parameters are modeled by random elements with discrete probability distributions. Therefore, the suitable model is a scenario-based stochastic program with two stages. Among the decomposition algorithms, we have chosen a progressive hedging algorithm (PHA) that is suitable for the case when nonlinear programs are related to scenarios. The example based on the real-world data is computed and results are discussed.