A note on the implementation of the BFC-MSMIP algorithm in C++ by using COIN-OR as an optimization engine

Laureano F. Escudero Bueno, 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: The aim of this technical report is to present some detailed explanations in order to help to understand and use the algorithm Branch and Fix Coordination for solving MultiStage Mixed Integer Problems (BFC- MSMIP). We have developed an algorithmic approach implemented in a C++ experimental code that uses the optimization engine COmputational INfrastructure for Operations Research (COIN-OR) for solving the auxiliary linear and mixed 0-1 submodels. Now, we give the computational and implementational descrip- tion in order to use this open optimization software not only in the implementation of our procedure but also in similar schemes to be developed by the users.

Keywords: multi-stage stochastic mixed 0-1 programming; branch-and-fix coordination; nonanticipativity constraints; cluster partitioning; COIN-OR library (search for similar items in EconPapers)
Date: 2010
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