Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Sample Average Approximation Method for 2-stage Stochastic Optimization

We consider the Sample Average Approximation (SAA) method for 2-stage stochastic optimization problems with recourse and prove a polynomial time convergence theorem for the SAA method. In the 2-stage recourse model, where one makes decisions in two steps. First, given only distributional information about (some of) the data, one commits on initial (first-stage) actions, and then once the actual...

متن کامل

Polynomial Approximation for Two Stage Stochastic Programming with Separable Objective

In this paper, the authors solve the two stage stochastic programming with separable objective by obtaining convex polynomial approximations to the convex objective function with an arbitrary accuracy. Our proposed method will be valid for realistic applications, for example, the convex objective can be either non-differentiable or only accessible by Monte Carlo simulations. The resulting polyn...

متن کامل

A branch-and-cut algorithm for two-stage stochastic mixed-binary programs with continuous first-stage variables

This paper presents a branch-and-cut method for two-stage stochastic mixed-integer programming (SMIP) problems with continuous firststage variables. This method is derived based on disjunctive decomposition (D) for SMIP, an approach in which disjunctive programming is used to derive valid inequalities for SMIP. The novelty of the proposed method derives from branching on the first-stage continu...

متن کامل

Reconfiguration of Supply Chain: A Two Stage Stochastic Programming

In this paper, we propose an extended relocation model for warehouses configuration in a supply chain network, in which uncertainty is associated to operational costs, production capacity and demands whereas, existing researches in this area are often restricted to deterministic environments. In real cases, we usually deal with stochastic parameters and this point justifies why the relocation m...

متن کامل

Two Stage Stochastic Linear Programming with Gams

This document shows how to model two-stage stochastic linear programming problems in a GAMS environment. We will demonstrate using a small example, how GAMS can be used to formulate and solve this model as a large LP or using specialized stochastic solvers such as OSL-SE and DECIS. Finally a tailored implementation of the Benders Decomposition algorithm written in GAMS is used to solve the model.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Applied Mathematical Modelling

سال: 2017

ISSN: 0307-904X

DOI: 10.1016/j.apm.2016.09.019