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Two-Stage Stochastic Mixed-Integer Linear Programming: From Scenarios to Conditional Scenarios

C. Beltran-Royo(cesar.beltran***at***urjc.es)

Abstract: This paper is a second part of [2] where the conditional scenario (CS) concept was introduced and applied to approximate the multinormal distribution in the context of two-stage stochastic mixed-integer linear programming. Now we propose an improved definition of conditional scenario which is suitable to approximate any distribution (not only the multinormal one). In particular, it allows to approximate a potentially large set of scenarios by a small set of conditional scenarios. In the computational study here presented, the CS approach has outperformed the scenario reduction approach based on probability distances, in terms of solution time.

Keywords: Stochastic mixed-integer linear programming, scenario reduction, conditional scenario, capacitated facility location, portfolio selection

Category 1: Stochastic Programming

Category 2: Integer Programming ((Mixed) Integer Linear Programming )

Category 3: Applications -- OR and Management Sciences (Finance and Economics )


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Entry Submitted: 03/07/2018
Entry Accepted: 03/07/2018
Entry Last Modified: 03/07/2018

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