Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation

DOI10.1007/S11081-020-09563-2zbMATH Open1485.90074OpenAlexW3088314668MaRDI QIDQ2129194FDOQ2129194

Authors Yanyan Li

Publication date 22 April 2022

Published in Optimization and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11081-020-09563-2

zbMATH Keywords

mixed-integer nonlinear programmingstochastic programmingsample average approximationouter-approximation

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Stochastic programming (90C15) Mixed integer programming (90C11)

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Cites work

• A branch and bound method for stochastic global optimization
• A finite \(\epsilon\)-convergence algorithm for two-stage stochastic convex nonlinear programs with mixed-binary first and second-stage variables
• A generalized Benders decomposition-based branch and cut algorithm for two-stage stochastic programs with nonconvex constraints and mixed-binary first and second stage variables
• A joint decomposition method for global optimization of multiscenario nonconvex mixed-integer nonlinear programs
• A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs
• A scalable global optimization algorithm for stochastic nonlinear programs
• An algorithm for two-stage stochastic mixed-integer nonlinear convex problems
• An outer-approximation algorithm for a class of mixed-integer nonlinear programs
• Asymptotic Behavior of Optimal Solutions in Stochastic Programming
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Asymptotic analysis of stochastic programs
• BFC, A branch-and-fix coordination algorithmic framework for solving some types of stochastic pure and mixed 0--1 programs.
• Decomposition strategy for the stochastic pooling problem
• Exploiting integrality in the global optimization of mixed-integer nonlinear programming problems with BARON
• Lectures on Stochastic Programming
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Nonconvex generalized Benders decomposition for stochastic separable mixed-integer nonlinear programs
• On structure and stability in stochastic programs with random technology matrix and complete integer recourse
• Outer approximation algorithms for separable nonconvex mixed-integer nonlinear programs
• Partitioning procedures for solving mixed-variables programming problems
• PySP: modeling and solving stochastic programs in Python
• Pyomo -- optimization modeling in Python
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• The empirical behavior of sampling methods for stochastic programming
• The sample average approximation method for stochastic discrete optimization

Cited in

(3)

• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
• M-estimators for models with a mix of discrete and continuous parameters
• Solving a class of two-stage stochastic nonlinear integer programs using value functions

Describes a project that uses

Uses Software

• BARON
• Pyomo
• PySP
• APOGEE
• SUTIL

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