Stochastic Integer Programming Solution through a Convexification Method
نویسندگان
چکیده
In this paper we present a solution method for stochastic integer problems. The method is a Benderstype algorithm that sequentially approximates the nonconvex recourse functions defined by the second stage subproblems. The presented convexification takes into account the domain that is induced by the collection of tender variables. The method is applied to a broad collection of stochastic integer programming problems taken from the literature and a summary of the numerical results is presented.
منابع مشابه
A Two Stage Stochastic Programming Model of the Price Decision Problem in the Dual-channel Closed-loop Supply Chain
In this paper, we propose a new model for designing integrated forward/reverse logistics based on pricing policy in direct and indirect sales channel. The proposed model includes producers, disposal center, distributers and final customers. We assumed that the location of final customers is fixed. First, a deterministic mixed integer linear programming model is developed for integrated logistic...
متن کاملOPTIMIZATION OF A PRODUCTION LOT SIZING PROBLEM WITH QUANTITY DISCOUNT
Dynamic lot sizing problem is one of the significant problem in industrial units and it has been considered by many researchers. Considering the quantity discount in purchasing cost is one of the important and practical assumptions in the field of inventory control models and it has been less focused in terms of stochastic version of dynamic lot sizing problem. In this paper, stochastic dyn...
متن کاملA Summary and Illustration of Disjunctive Decomposition with Set Convexification
In this paper we review the Disjunctive Decomposition (D) algorithm for two-stage Stochastic Mixed Integer Programs (SMIP). This novel method uses the principles of disjunctive programming to develop cuttingplane-based approximations of the feasible set of the second stage problem. At the core of this approach is the Common Cut Coefficient Theorem, which provides a mechanism for transforming cu...
متن کاملA convexification method for a class of global optimization problems with applications to reliability optimization
A convexification method is proposed for solving a class of global optimization problems with certain monotone properties. It is shown that this class of problems can be transformed into equivalent concave minimization problems using the proposed convexification schemes. An outer approximation method can then be used to find the global solution of the transformed problem. Applications to mixed-...
متن کاملPartial Outer Convexification for Traffic Light Optimization in Road Networks
Abstract. We consider the problem of computing optimal tra c light programs for urban road intersections using tra c flow conservation laws on networks. Based on a Partial Outer Convexification approach, which has been successfully applied in the area of mixed-integer optimal control for systems of ordinary or di↵erential algebraic equations, we develop a computationally tractable two-stage sol...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007