On solving strong multistage nonsymmetric stochastic mixed 0-1 problems

Laureano F. Escudero (), M. Araceli Garín (), María Merino () and Gloria Pérez ()
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Laureano F. Escudero: Universidad Rey Juan Carlos
M. Araceli Garín: Universidad del País Vasco
María Merino: Universidad del País Vasco
Gloria Pérez: Universidad del País Vasco

A chapter in Operations Research Proceedings 2011, 2012, pp 509-514 from Springer

Abstract: Abstract In this note we present the basic ideas of a parallelizable Branch-and- Fix Coordination algorithm for solving medium and large-scale multistage mixed 0-1 optimization problems under uncertainty, where this one is represented by nonsymmetric scenario trees. An assignment of the constraint matrix blocks into independent scenario cluster MIP submodels is performed by a named cluster splitting variable - compact representation (explicit non anticipativity constraints between the cluster submodels until break stage t*). Some computational experience using CPLEX within COIN-OR is reported while solving a large-scale real-life problem.

Keywords: Scenario Tree; Constraint Matrix; Stochastic Integer Programming; Scenario Group; Scenario Cluster (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_81

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DOI: 10.1007/978-3-642-29210-1_81

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