Show simple item record

2009-05-22Buch DOI: 10.18452/8402
Fenchel Decomposition for Stochastic Mixed-IntegerProgramming
dc.contributor.authorNtaimo, L.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:20:36Z
dc.date.available2017-06-16T20:20:36Z
dc.date.created2009-06-25
dc.date.issued2009-05-22
dc.date.submitted2009-05-05
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9054
dc.description.abstractThis paper introduces a new cutting plane method for two-stage stochastic mixed-integer programming (SMIP) called Fenchel decomposition (FD). FD usesa class of valid inequalities termed, FD cuts, which are derived based on Fenchel cutting planes from integer programming. We derive FD cuts based on both the first and second stage variables, and devise an FD algorithm for SMIP with binary first stage and establish finite convergence for mixed-binary second stage. We also derive alternative FD cuts based on the second stage variables only and use an idea from disjunctive programming to lift the cuts to the higher dimension space including the first stage variables. We then devise an FD-L algorithm based on the lifted FD cuts. Finally, we report on preliminary computational results based on example instances from the literature. The results are promising and show the lifted FD cuts to have better performance than the regular FD cuts. Furthermore, both the FD and FD-L algorithms outperform a standard solver on large-scaleinstances.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstochastic programmingeng
dc.subjectinteger programmingeng
dc.subjectFenchel decompositioneng
dc.subjectFD cutseng
dc.subject.ddc510 Mathematik
dc.titleFenchel Decomposition for Stochastic Mixed-IntegerProgramming
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10098678
dc.identifier.doihttp://dx.doi.org/10.18452/8402
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue4
local.edoc.container-erstkatid2936317-2

Show simple item record