E. Mijangos
An algorithm for solving multistage mixed 0-1 stochastic problems with nonlinear convex objective function and convex constraints is presented. These problems have continuous and binary variables in each stage. The algorithm is based on the Branch-and-Fix Coordination method (BFC). The non-anticipativity constraints are satisfied by means of the twin-node family strategy.
In this work to solve each nonlinear convex subproblem generated at each node of the trees of the BFC method we propose the solution of sequences of quadratic subproblems. As constraints are convex we can approximate them by means of outer linear approximations. The algorithm has been implemented in C++ with the help of Cplex 12.1 to solve quadratic approximations. Test problems have been randomly generated by a C++ code. Numerical experiments have been performed and its efficiency has been compared with that of BONMIN.
Keywords: Multistage Stochastic Problems, Branch and Fix Coordination, Convex Optimization, Outer Approximation
Scheduled
ThB1 Risk management
June 2, 2016 10:45 AM
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