Vol 4 No 1 (2009)
Articles

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

Maria Elena Bruni
Bio
Patrizia Beraldi
Bio
Domenico Conforti
Bio
Published February 3, 2009
Keywords
  • Stochastic Programming,
  • Mixed Integer Nonlinear Programming,
  • Trim Loss Problem,
  • Lagrangian Decomposition,
  • Branch and Bound.
How to Cite
Bruni, M. E., Beraldi, P., & Conforti, D. (2009). A Solution Approach for Two-Stage Stochastic Nonlinear Mixed Integer Programs. Algorithmic Operations Research, 4(1), Pages 76 - 85. Retrieved from https://journals.lib.unb.ca/index.php/AOR/article/view/4955

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.