A scenario decomposition algorithm for 0-1 stochastic programs
نویسنده
چکیده
We propose a scenario decomposition algorithm for stochastic 0-1 programs. The algorithm recovers an optimal solution by iteratively exploring and cutting-off candidate solutions obtained from solving scenario subproblems. The scheme is applicable to quite general problem structures and can be implemented in a distributed framework. Illustrative computational results on standard two-stage stochastic integer programming and nonlinear stochastic integer programming test problems are presented.
منابع مشابه
Errata to “ A scenario decomposition algorithm for 0 - 1 stochastic programs , ” [ Oper
Section 3 of the paper “A scenario decomposition algorithm for 0-1 stochastic programs,” Operations Research Letters, 41(6):565-569, 2013, contains some errors. The result in Proposition 2 had to be stated with respect to epsilon optimality as opposed to optimality. In this errata the entire Section 3 is reproduced with the errors corrected. The portions highlighted in red indicate the changes ...
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 41 شماره
صفحات -
تاریخ انتشار 2013