mixed-integer stochastic programming

A Benders decomposition method for locating stations in a one-way electric car sharing system under demand uncertainty

  • Hatice Calik
  • Bernard Fortz
    • Categories Branch and Cut Algorithms, Robust Optimization, Transportation Tags , , , , ,

    We focus on a problem of locating recharging stations in one-way station based electric car sharing systems which operate under demand uncertainty. We model this problem as a mixed integer stochastic program and develop a Benders decomposition algorithm based on this formulation. We integrate a stabilization procedure to our algorithm and conduct a large-scale experimental … Read more

    Combining Progressive Hedging with a Frank-Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming

  • Natashia Boland
  • Brian Dandurand
  • Andrew C. Eberhard
  • Jeff Linderoth
  • James R. Luedtke
  • Fabricio Oliveira
  • Jeffrey Christiansen
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , , ,

    We present a new primal-dual algorithm for computing the value of the Lagrangian dual of a stochastic mixed-integer program (SMIP) formed by relaxing its nonanticipativity constraints. The algorithm relies on the well-known progressive hedging method, but unlike previous progressive hedging approaches for SMIP, our algorithm can be shown to converge to the optimal Lagrangian dual … Read more