Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage

Unai Aldasoro Marcellan, María Araceli Garín Martín, María Merino Maestre and Gloria Pérez Sainz de Rozas

No 1134-8984, BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

Abstract: We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We consider a stochastic model in compact representation and MPS format with a known scenario tree. The cluster submodels are built by storing first the 0-1 the variables, stage by stage, and then the continuous ones, also stage by stage. A C++ experimental code has been implemented for reordering the stochastic model as well as the cluster decomposition after the relaxation of the non-anticipativiy constraints until the so-called breakstage. The computational experience shows better performance of the stage ordering in terms of elapsed time in a randomly generated testbed of multistage stochastic mixed integer problems.

Keywords: stochastic optimization; scenario cluster partitioning; break stage; C++; MPS (search for similar items in EconPapers)
Date: 2013-07
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Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

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