Article ID: | iaor200948277 |
Country: | Canada |
Volume: | 4 |
Issue: | 1 |
Start Page Number: | 76 |
End Page Number: | 85 |
Publication Date: | Jan 2009 |
Journal: | Algorithmic Operations Research |
Authors: | Beraldi Patrizia, Conforti Domenico, Bruni Maria Elena |
This paper addresses the class of nonlinear mixed integer stochastic programming problems. In particular, we consider two-stage problems with nonlinearities both in the objective function and constraints, pure integer first stage and mixed integer second stage ariables. We exploit the specific problem structure to develop a global optimization algorithm. The basic idea is to compose the original problem into smaller manageable optimization subproblems and coordinate their solutions by means of a Branch and Bound approach. Preliminary computational experiments have been carried out on a stochastic version of the Trim Loss problem.