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On solving strong multistage nonsymmetric stochastic mixed 0-1 problems

In: Operations Research Proceedings 2011

Author

Listed:
  • Laureano F. Escudero

    (Universidad Rey Juan Carlos)

  • M. Araceli Garín

    (Universidad del País Vasco)

  • María Merino

    (Universidad del País Vasco)

  • Gloria Pérez

    (Universidad del País Vasco)

Abstract

In this note we present the basic ideas of a parallelizable Branch-and- Fix Coordination algorithm for solving medium and large-scale multistage mixed 0-1 optimization problems under uncertainty, where this one is represented by nonsymmetric scenario trees. An assignment of the constraint matrix blocks into independent scenario cluster MIP submodels is performed by a named cluster splitting variable - compact representation (explicit non anticipativity constraints between the cluster submodels until break stage t*). Some computational experience using CPLEX within COIN-OR is reported while solving a large-scale real-life problem.

Suggested Citation

  • Laureano F. Escudero & M. Araceli Garín & María Merino & Gloria Pérez, 2012. "On solving strong multistage nonsymmetric stochastic mixed 0-1 problems," Operations Research Proceedings, in: Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), Operations Research Proceedings 2011, edition 127, pages 509-514, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-29210-1_81
    DOI: 10.1007/978-3-642-29210-1_81
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