I. Eguia Ribero, M. A. Garín Martín, A. Unzueta Inchaurbe
Stochastic optimization problems of practical applications lead, in general, to some large models. The size of those models is linked to the number of scenarios that defines the scenario tree. This number of scenarios can be so large that decomposition strategies are required for problem solving in reasonable computing time. Methodologies such as Branch-and-Fix Coordination and Lagrangean Relaxation make use of these decomposition approaches, where independent scenario clusters are given. In this work, we present a technique to generate cluster submodel structures from the decomposition of a general two-stage stochastic mixed integer optimization model. Scenario cluster submodels are generated from the original stochastic problem by dualizing some of the non-anticipativity-constraints related to the nodes that belong to the first stage. We consider a two-stage stochastic capacity expansion problem as illustrative example where several decompositions are provided.
Palabras clave / Keywords: scenario cluster, scenarios, non-anticipativity-constraints
Programado
Sesión M04 Optimización y Combinatoria
30 de mayo de 2018 15:30
Sala 5
