A two-stage stochastic integer programming approach

1. Garín Martín, María Inmaculada
2. Escudero Bueno, Laureano Fernando
3. Merino Maestre, María
4. Pérez Sainz de Rozas, Gloria

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Resumen

We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0--1 variables and continuous variables. The approach uses the Twin Node Family (TNF) concept within the algorithmic framework so-called {Branch-and-Fix Coordination} for satisfying the {nonanticipativity} constraints, jointly with a Benders Decomposition scheme for solving a given {LP} model at each {TNF} integer set. As an illustrative case, the structuring of a portfolio of Mortgage-Backed Securities under uncertainty in the interest rate path along a given time horizon is used. Some computational experience is reported.

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