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Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints

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  • Escudero Bueno, Laureano F.
  • Garín Martín, María Araceli
  • Merino Maestre, María
  • Pérez Sainz de Rozas, Gloria

Abstract

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. Additionally, we consider Time Stochastic Dominance (TSD) along a given horizon. Given the dimensions of medium-sized problems augmented by the new variables and constraints required by those risk measures, it is unrealistic to solve the problem up to optimality by plain use of MIP solvers in a reasonable computing time, at least. Instead of it, decomposition algorithms of some type should be used. We present an extension of our Branch-and-Fix Coordination algorithm, so named BFC-TSD, where a special treatment is given to cross scenario group constraints that link variables from different scenario groups. A broad computational experience is presented by comparing the risk neutral approach and the tested risk averse strategies. The performance of the new version of the BFC algorithm versus the plain use of a state-of-the-artMIP solver is also reported.

Suggested Citation

  • Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2015. "Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    • Handle: RePEc:ehu:biltok:14745
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    Keywords

    multistage stochastic mixed 0-1 optimization; scenario clustering; risk averse measures; stochastic dominance constraints;
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