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

Authors

  • Maria Elena Bruni
  • Patrizia Beraldi
  • Domenico Conforti

Keywords:

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

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.

Author Biographies

Maria Elena Bruni

Assistant Professor, University of Calabria

Patrizia Beraldi

Associate Professor, University of Calabria

Domenico Conforti

Associate Professor, University of Calabria

Downloads

Published

2009-02-03

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

Issue

Vol. 4 No. 1 (2009)

Section

Articles

License

The copyright of the submitted article is hereby transferred to “Preeminent Academic Facets Inc. (the “publisher”) to the extent possible by the laws in the respective countries of the author(s). The author(s) retain all other rights including the following: 1. Any patents and trademark rights. 2. Right to post a pre-print version of the paper on the author’s personal website which is not used for commercial purposes. The author(s) warrant that the work is original, it has not been published elsewhere, it is not currently under consideration for publication in any form, and it does not infringe any copyright laws. The signing author or agent further warrants that all authors, if applicable, have been informed of the terms of this agreement and obtained the approval and authority to sign the agreement.