Scenario Updating Method for Stochastic Mixed-integer Programming Problems

Lulli, Guglielmo and Sen, Suvrajeet (2002) Scenario Updating Method for Stochastic Mixed-integer Programming Problems. In: The OR 2002 proceedings :. Operations Research Proceedings . Springer, pp. 401-406. ISBN 9783540003878

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In this paper, we propose an approximation scheme to solve large stochastic mixed-integer programming (SMIP) problems with fixed recourse. We refer to this as the Scenari o Updating Method. The algorithm is based on solving instances of the problem, which cont ain only a subset of the scenarios in the scenario tree. At each iteration, th e subset of scenarios is updated by adding only those scenarios which suggest a significant potential for change in the objective function value. The algorithm is terminated when the potential for change is insignificant.Different selection and updating rules are discussed.

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27 Feb 2019 14:20
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16 Jul 2024 04:31