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

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

0.00 Avg rating0 Votes
Article ID: iaor20073871
Country: Netherlands
Volume: 152
Issue: 1
Start Page Number: 395
End Page Number: 420
Publication Date: Jul 2007
Journal: Annals of Operations Research
Authors: , , ,
Keywords: programming: integer
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.

Reviews

Required fields are marked *. Your email address will not be published.