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A scenario decomposition algorithm for 0-1 stochastic programs

Shabbir Ahmed(sahmed***at***isye.gatech.edu)

Abstract: We propose a scenario decomposition algorithm for stochastic 0-1 programs. The algorithm recovers an optimal solution by iteratively exploring and cutting-off candidate solutions obtained from solving scenario subproblems. The scheme is applicable to quite general problem structures and can be implemented in a distributed framework. Illustrative computational results on standard two-stage stochastic integer programming and nonlinear stochastic integer programming test problems are presented.

Keywords: 0-1 stochastic programs, dual decomposition, parallel computation

Category 1: Stochastic Programming

Category 2: Integer Programming

Category 3: Optimization Software and Modeling Systems (Parallel Algorithms )

Citation: Submitted for publication.

Download: [PDF]

Entry Submitted: 07/19/2013
Entry Accepted: 07/19/2013
Entry Last Modified: 07/19/2013

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