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

Maria Elena Bruni, Patrizia Beraldi, Domenico Conforti


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.


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

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Algorithmic Operations Research. ISSN: 1718-3235