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A two-stage stochastic integer programming approach
(2005)
We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0--1 variables and continuous variables. The approach uses the ...
Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints
(2015)
In this work we extend to the multistage case two recent risk averse measures for two-stage stochastic
programs based on first- and second-order stochastic dominance constraints induced by mixed-integer linear
recourse. ...
A note on the implementation of the BFC-MSMIP algorithm in C++ by using COIN-OR as an optimization engine
(2010)
The aim of this technical report is to present some detailed explanations in order to help to understand and use the algorithm Branch and Fix Coordination for solving MultiStage Mixed Integer Problems (BFC- MSMIP). We have ...
MPI parallel programming of mixed integer optimization problems using CPLEX with COIN-OR
(2012)
The aim of this technical report is to present some detailed explanations in order to help
to understand and use the Message Passing Interface (MPI) parallel programming for solving
several mixed integer optimization ...
A parallelizable algorithmic framework for solving large scale multi-stage stochastic mixed 0-1 problems under uncertainty
(2011-02)
In this paper we present a parallelizable scheme of the Branch-and-Fix Coordination algorithm for solving medium and large scale multi-stage mixed 0-1 optimization problems under uncertainty. The uncertainty is represented ...
Risk management for mathematical optimization under uncertainty
(2016)
We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree ...
Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage
(2013-07)
We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a
nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We
consider a stochastic model ...