Pseudo-Valid Cutting Planes for Two-Stage Mixed-Integer Stochastic Programs with Right-Hand-Side Uncertainty
| Autor: | Niels van der Laan, Ward Romeijnders |
|---|---|
| Přispěvatelé: | Research programme OPERA |
| Rok vydání: | 2020 |
| Předmět: |
Mathematical optimization
021103 operations research Computer science 0211 other engineering and technologies DECOMPOSITION ALGORITHMS 010103 numerical & computational mathematics 02 engineering and technology RECOURSE MODELS CUTS Management Science and Operations Research 01 natural sciences Stochastic programming Computer Science Applications CONVEX APPROXIMATIONS Stage (hydrology) 0101 mathematics Integer programming Energy (signal processing) Integer (computer science) |
| Zdroj: | Operations Research, 68(4), 1199-1217 |
| ISSN: | 1526-5463 0030-364X |
| DOI: | 10.1287/opre.2019.1905 |
| Popis: | Cutting planes need not be valid in stochastic integer optimization. Many practical problems under uncertainty, for example, in energy, logistics, and healthcare, can be modeled as mixed-integer stochastic programs (MISPs). However, such problems are notoriously difficult to solve. In “Pseudo-Valid Cutting Planes for Two-Stage Mixed-Integer Stochastic Programs with Right-Hand-Side Uncertainty,” Romeijnders and van der Laan introduce a novel approach to solve two-stage MISPs. Instead of using exact cuts that are always valid, they propose to use pseudo-valid cutting planes for the second-stage feasible regions that may cut away feasible integer second-stage solutions for some scenarios and may be overly conservative for others. The advantage of using such cutting planes is that the approximating problem remains convex in the first-stage decision variables and thus can be solved efficiently. Moreover, the performance of these cutting planes is good if the variability of the random parameters in the model is large enough. |
| Databáze: | OpenAIRE |
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