Résumés
Abstract
This paper addresses the class of nonlinear mixed integer stochastic programming problems. In particular, we consider two-stage problems with nonlinearities both in the objective function and constraints, pure integer first stage and mixed integer second stage variables. We exploit the specific problem structure to develop a global optimization algorithm. The basic idea is to decompose the original problem into smaller manageable optimization subproblems and coordinate their solutions by means of a Branch and Bound approach. Preliminary computational experiments have been carried out on a stochastic version of the Trim Loss problem.
Keywords:
- Stochastic Programming,
- Mixed Integer Nonlinear Programming,
- Trim Loss Problem,
- Lagrangian Decomposition,
- Branch and Bound
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