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On solving strong multistage nonsymmetric stochastic mixed 0-1 problems

  • Laureano F. Escudero
  • M. Araceli Garín
  • María Merino
  • Gloria Pérez
Conference paper
Part of the Operations Research Proceedings book series (ORP)

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.

Keywords

Scenario Tree Constraint Matrix Stochastic Integer Programming Scenario Group Scenario Cluster 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Laureano F. Escudero
    • 1
  • M. Araceli Garín
    • 2
  • María Merino
    • 3
  • Gloria Pérez
    • 3
  1. 1.Dpto. de Estadística e Investigación OperativaUniversidad Rey Juan CarlosMóstoles (Madrid)Spain
  2. 2.Dpto. de Economía Aplicada IIIUniversidad del País VascoBilbaoSpain
  3. 3.Dpto. de Matemática Aplicada y Estadística e Investigación OperativaUniversidad del País VascoBilbaoSpain

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