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Lagrangean decomposition for large-scale two-stage stochastic mixed 0-1 problems
(2010-07)
In this paper we study solution methods for solving the dual problem corresponding to the Lagrangean Decomposition of two stage stochastic mixed 0-1 models. We represent the two stage stochastic mixed 0-1 problem by a ...
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. ...
On downloading and using COIN-OR for solving linear/integer optimization problems
(2010)
The aim of this technical report is to present some detailed explanations in order to help to use the open source software for optimization COIN-OR. In particular, we describe how to download, install and use the corresponding ...
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 ...
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 ...
On solving two stage stochastic linear problems by using a new approach, Cluster Benders Decomposition
(2010-11)
The optimization of stochastic linear problems, via scenario analysis, based on Benders decomposition requires to appending feasibility and/or optimality cuts to the master problem until the iterative procedure reaches the ...
On Downloading and Using CPLEX within COIN-OR for Solving Linear/Integer Optimization Problems
(2011-11)
The aim of this technical report is to present some detailed explanations in order to use the solver CPLEX within COIN-OR
environment. In particular, we describe how to download, install and use the corresponding source ...
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 ...