A Solution Approach for Two-Stage Stochastic Nonlinear Mixed Integer Programs

Maria Elena Bruni, Patrizia Beraldi, Domenico Conforti

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.

Keywords


Stochastic Programming, Mixed Integer Nonlinear Programming,Trim Loss Problem, Lagrangian Decomposition, Branch and Bound.

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Algorithmic Operations Research. ISSN: 1718-3235