A heuristic procedure for stochastic integer programs with complete recourse

Lulli, Guglielmo and Sen, Suvrajeet (2006) A heuristic procedure for stochastic integer programs with complete recourse. European Journal of Operational Research, 171 (3). pp. 879-890. ISSN 0377-2217

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Abstract

In this paper, we propose a successive approximation heuristic which solves large stochastic mixed-integer programming problem with complete fixed recourse. We refer to this method as the Scenario Updating Method, since it solves the problem by considering only a subset of scenarios which is updated at each iteration. Only those scenarios which imply a significant change in the objective function are added. The algorithm is terminated when no such scenarios are available to enter in the current scenario subtree. Several rules to select scenarios are discussed. Bounds on heuristic solutions are computed by relaxing some of the non-anticipativity constraints. The proposed procedure is tested on a multistage stochastic batch-sizing problem.

Item Type:
Journal Article
Journal or Publication Title:
European Journal of Operational Research
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/3300/3313
Subjects:
ID Code:
75951
Deposited By:
Deposited On:
21 Oct 2015 05:02
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 09:25