BFC-MSMIP: an exact Branch-and-Fix Coordination approach for solving multistage stochastic mixed 0-1 problems
- Escudero Bueno, Laureano Fernando
- Garín Martín, María Araceli
- Merino Maestre, María
- Pérez Sainz de Rozas, Gloria
Editorial: Universidad de Murcia. Departamento de Estadística e Investigación Operativa
ISBN: 978-84-691-8159-1
Año de publicación: 2009
Congreso: Congreso Nacional de Estadística e Investigación Operativa (31. 2009. Murcia)
Tipo: Aportación congreso
Resumen
In this paper we represent the stochastic mixed 0-1 multistage problem by a splitting variable representation of the Deterministic Equivalent Model, DEM, of the stochastic problem with complete recourse, where the 0-1 and the continuous variables appear at any stage. A specialization of the Branch-and-Fix Coordination approach is considered here for the multi-stage problem solving. The algorithm that we propose uses the Twin Node Family concept, and it is specially designed for coordinating and reinforcing the branching nodes and the branching variable selections at each Branch-and-Fix tree. Some blocks of additional strategies are used in order to show the performance of the proposed approach. The blocks are related to the scenario clustering, the starting branching and the branching order strategies, the integer strategy and others. Computational experience is reported.