On solving strong multistage nonsymmetric stochastic mixed 0-1 problems
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.
KeywordsScenario Tree Constraint Matrix Stochastic Integer Programming Scenario Group Scenario Cluster
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