A scenario decomposition algorithm for 0-1 stochastic programs

  • Shabbir Ahmed
    • Categories Integer Programming, Parallel Algorithms, Stochastic Programming Tags , , Short URL: https://optimization-online.org/?p=12506

    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.

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