Multistage stochastic integer programs: An introduction
From MaRDI portal
The authors consider linear multistage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. They also study the application of the Rockafellar-Wets dualization approach as well as the structure and algorithmic potential of the corresponding dual problems. For the discrete underlying probability distributions the authors discuss possible large scale mixed-integer linear programming formulations and three dual decomposition approaches, namely, scenario, component and nodal decomposition. For the entire collection see [Zbl 0971.00007].
Recommendations
- Two‐stage stochastic integer programming: a survey
- scientific article; zbMATH DE number 958363
- Two-stage stochastic mixed-integer programs: algorithms and insights
- Multistage stochastic programming problems; stability and approximation
- Bounds and approximations for multistage stochastic programs
- Multistage stochastic programs via stochastic parametric optimization
- Stochastic integer programming: general models and algorithms
- On the number of stages in multistage stochastic programs
Cited in
(48)- A general algorithm for solving two-stage stochastic mixed 0-1 first-stage problems
- Duality and optimality in multistage stochastic programming
- Stochastic programming with integer variables
- BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
- Totally unimodular multistage stochastic programs
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- About the complexity of two-stage stochastic IPs
- Designing a two-echelon distribution network under demand uncertainty
- Stochastic dual dynamic integer programming
- The design of robust value-creating supply chain networks
- Short-term hydropower production planning by stochastic programming
- A two-stage stochastic integer programming approach as a mixture of branch-and-fix coordination and Benders decomposition schemes
- Two-stage integer programs with stochastic right-hand sides: A superadditive dual approach
- Unit commitment in electricity pool markets
- Multistage stochastic convex programs: duality and its implications
- An exact algorithm for solving large-scale two-stage stochastic mixed-integer problems: some theoretical and experimental aspects
- Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning
- A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
- Two-stage stochastic mixed-integer programs: algorithms and insights
- Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
- From State-of-the-Art Static Fleet Assignment to Flexible Stochastic Planning of the Future
- Multistage stochastic programs with block-separable recourse
- Cost/risk balanced management of scarce resources using stochastic programming
- Two‐stage stochastic integer programming: a survey
- Structuring bilateral energy contract portfolios in competitive markets
- A Multistage Stochastic Programming Approach to the Optimal Surveillance and Control of the Emerald Ash Borer in Cities
- A unified framework for multistage mixed integer linear optimization
- Periodical multistage stochastic programs
- Algorithms for stochastic mixed-integer programming models
- A scalable bounding method for multistage stochastic programs
- scientific article; zbMATH DE number 958363 (Why is no real title available?)
- A Multistage Stochastic Programming Approach to the Dynamic and Stochastic VRPTW
- Comparing stage-scenario with nodal formulation for multistage stochastic problems
- Optimizing vaccine distribution in developing countries under natural disaster risk
- Scenario-dominance to multi-stage stochastic lot-sizing and knapsack problems
- Stochastic forestry planning under market and growth uncertainty
- A polynomial oracle-time algorithm for convex integer minimization
- Lagrangian dual decision rules for multistage stochastic mixed-integer programming
- Stochastic set packing problem
- A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach
- Decomposition algorithms for computational stochastic mixed-integer programming: a survey
- Stochastic optimization models in forest planning: a progressive hedging solution approach
- On the number of stages in multistage stochastic programs
- On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
- On a mixture of the fix-and-relax coordination and Lagrangian substitution schemes for multistage stochastic mixed integer programming
- BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems
- On a stochastic sequencing and scheduling problem
- On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed \(0-1\) problems under uncertainty
This page was built for publication: Multistage stochastic integer programs: An introduction
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2762572)
