A two-stage stochastic integer programming approach as a mixture of Branch-and-Fix Coordination and Benders Decomposition schemes

L. Escudero (), A. Garín (), M. Merino () and G. Pérez ()

Annals of Operations Research, 2007, vol. 152, issue 1, 395-420

Abstract: We present an algorithmic approach for solving two-stage stochastic mixed 0–1 problems. The first stage constraints of the Deterministic Equivalent Model have 0–1 variables and continuous variables. The approach uses the Twin Node Family (TNF) concept within the so-called Branch-and-Fix Coordination algorithmic framework to satisfy the nonanticipativity constraints, jointly with a Benders Decomposition scheme to solve a given LP model at each TNF integer set. As a pilot case, the structuring of a portfolio of Mortgage-Backed Securities under uncertainty in the interest rate path on a given time horizon is used. Some computational experience is reported. Copyright Springer Science+Business Media, LLC 2007

Keywords: Stochastic programming; Benders Decomposition; Branch-and-Fix Coordination; MBS portfolio structuring (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10479-006-0138-0

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