Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10523950 | Operations Research Letters | 2013 | 10 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Shabbir Ahmed,