BFC-TSMIP: a Branch-and-Fix Coordination methodology for solving two-stage stochastic mixed 0-1 problems
- Escudero Bueno, Laureano Fernando
- Garín Martín, María Araceli
- Merino Maestre, María
- Pérez Sainz de Rozas, Gloria
Editorial: Universidad de Murcia. Departamento de Estadística e Investigación Operativa
ISBN: 978-84-691-8159-1
Año de publicación: 2009
Congreso: Congreso Nacional de Estadística e Investigación Operativa (31. 2009. Murcia)
Tipo: Aportación congreso
Resumen
We present an algorithmic approach for solving large-scale two-stage stochastic mixed 0{1 problems. We can consider two classes of problems: (a) mixed 0-1 problems with 0-1 and continuos variables in the two stages, and (b) mixed 0-1 rst stage problems, where just there are continuous variables in the second stage. The approach uses the Twin Node Family concept within the algorithmic framework, the so-called Branch-and-Fix Coordination, in order to satisfy the non-anticipativity constraints for the 0-1 variables. In order to satisfy the nonanticipativity constraints also on the rst-stage continuous variables, we need to solve two submodels of the DEM, for the given TNF integer set. At the same time, in case (a), and in order to increase the eciency of our approach for solving large-scale instances we exploit the remaining model's structure, such that a Benders Decomposition is used to solve these linear submodels in several steps of the procedure.