An exact solution approach for risk-averse mixed-integer multi-stage stochastic programming problems
نویسندگان
چکیده
منابع مشابه
Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
Risk-averse mixed-integer multi-stage stochastic programming forms a class of extremely challenging problems since the problem size grows exponentially with the number of stages, the problem is non-convex due to integrality restrictions and the objective function is a dynamic measure of risk. For this reason, we propose a scenario tree decomposition approach, namely group subproblem approach, t...
متن کاملAn Exact Penalty Approach for Mixed Integer Nonlinear Programming Problems
We propose an exact penalty approach for solving mixed integer nonlinear programming (MINLP) problems by converting a general MINLP problem to a finite sequence of nonlinear programming (NLP) problems with only continuous variables. We express conditions of exactness for MINLP problems and show how the exact penalty approach can be extended to constrained problems.
متن کاملA two-stage stochastic mixed-integer program modelling and hybrid solution approach to portfolio selection problems
In this paper, we investigate a multi-period portfolio selection problem with a comprehensive set of real-world trading constraints as well as market random uncertainty in terms of asset prices. We formulate the problem into a two-stage stochastic mixed-integer program (SMIP) with recourse. The set of constraints is modelled as mixed-integer program, while a set of decision variables to rebalan...
متن کاملA mixed integer linear programming formulation for a multi-stage, multi-Product, multi-vehicle aggregate production-distribution planning problem
In today’s competitive market place, companies seek an efficient structure of supply chain so as to provide customers with highest value and achieve competitive advantage. This requires a broader perspective than just the borders of an individual company during a supply chain. This paper investigates an aggregate production planning problem integrated with distribution issues in a supply chain ...
متن کاملAn exact penalty global optimization approach for mixed-integer programming problems
In this work, we propose a global optimization approach for mixed-integer programming problems. To this aim, we preliminarily define an exact penalty algorithm model for globally solving general problems and we show its convergence properties. Then, we describe a particular version of the algorithm that solves mixed integer problems.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2019
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-019-03142-0