A solution approach for two-stage stochastic nonlinear mixed integer programs

A solution approach for two-stage stochastic nonlinear mixed integer programs

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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: , ,
Abstract:

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.

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