Rigorous vs. Stochastic Algorithms for Two-stage Stochastic Integer Programming Applications
نویسندگان
چکیده
We recently proposed a new hybrid algorithm to solve linear two-stage stochastic integer programs (2SIPs) based on stage wise (primal) decomposition [1]. The master algorithm performs a search on the first stage variables by an evolutionary algorithm (EA), the decoupled second stage scenario problems are solved by mathematical programming. In this paper, the performance of the EA approach is compared to that of the 2SIP-solver of Carøe and Schultz [2] which is based on scenario (dual) decomposition. A real-world batch scheduling problem with uncertainties serves as a test instance.
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