A Lagrangean Duality based Branch and Bound for Solving Linear Stochastic Programs with Decision Dependent Uncertainty
نویسندگان
چکیده
We address a class of planning problems where the optimization decisions influence the time of information discovery for a subset of the uncertain parameters. The standard stochastic programming approach cannot be used for these problems. We present a hybrid mixed-integer disjunctive programming formulation and a Lagrangean duality based branch and bound algorithm for these problems and illustrate the advantages of this approach using examples for a manufacturing problem.
منابع مشابه
A Class of stochastic programs with decision dependent uncertainty
The standard approach to formulating stochastic programs is based on the assumption that the stochastic process is independent of the optimization decisions. We address a class of problems where the optimization decisions influence the time of information discovery for a subset of the uncertain parameters. We extend the standard modeling approach by presenting a disjunctive programming formulat...
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