An exact algorithm for solving large-scale two-stage stochastic mixed-integer problems: Some theoretical and experimental aspects

We present an algorithmic framework, so-called BFC-TSMIP, for solving two-stage stochastic mixed 0–1 problems. The constraints in the Deterministic Equivalent Model have 0–1 variables and continuous variables at any stage. The approach uses the Twin Node Family ( TNF) concept within an adaptation of...

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Bibliographic Details
Published in:European journal of operational research Vol. 204; no. 1; pp. 105 - 116
Main Authors: Escudero, L.F., Garín, M.A., Merino, M., Pérez, G.
Format: Journal Article
Language:English
Published: Amsterdam Elsevier B.V 01.07.2010
Elsevier
Elsevier Sequoia S.A
Series:European Journal of Operational Research
Subjects:
Algorithms
Applied sciences
Branch-and-Fix Coordination
Exact sciences and technology
Integer programming
Mathematical programming
Nonanticipativity constraints
Operational research and scientific management
Operational research. Management science
Splitting variables
Stochastic integer programming
Stochastic integer programming Nonanticipativity constraints Splitting variables Twin Node Family Branch-and-Fix Coordination
Stochastic models
Studies
Twin Node Family
Splitting variables
Twin Node Family
Branch-and-Fix Coordination
Nonanticipativity constraints
Stochastic integer programming
Algorithmics
Mixed integer programming
Stochastic programming
Integer programming
Zero one programming
Deterministic model
Mixed problem
Large scale
ISSN:0377-2217, 1872-6860
Online Access:Get full text
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Summary:We present an algorithmic framework, so-called BFC-TSMIP, for solving two-stage stochastic mixed 0–1 problems. The constraints in the Deterministic Equivalent Model have 0–1 variables and continuous variables at any stage. The approach uses the Twin Node Family ( TNF) concept within an adaptation of the algorithmic framework so-called Branch-and-Fix Coordination for satisfying the nonanticipativity constraints for the first stage 0–1 variables. Jointly we solve the mixed 0–1 submodels defined at each TNF integer set for satisfying the nonanticipativity constraints for the first stage continuous variables. In these submodels the only integer variables are the second stage 0–1 variables. A numerical example and some theoretical and computational results are presented to show the performance of the proposed approach.
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ISSN:0377-2217
1872-6860
DOI:10.1016/j.ejor.2009.09.027