two-stage stochastic mixed-integer programming

Dual Decomposition of Two-Stage Distributionally Robust Mixed-Integer Programming under the Wasserstein Ambiguity Set

  • Kibaek Kim
    • Categories (Mixed) Integer Linear Programming, Robust Optimization, Stochastic Programming Tags , ,

    We develop a dual decomposition of two-stage distributionally robust mixed-integer programming (DRMIP) under the Wasserstein ambiguity set. The dual decomposition is based on the Lagrangian dual of DRMIP, which results from the Lagrangian relaxation of the nonanticipativity constraints and min-max inequality. We present two Lagrangian dual problem formulations, each of which is based on different principle. We show … Read more

    Optimal Crashing of an Activity Network with Disruptions

  • David P. Morton
  • Haoxiang Yang
    • Categories Stochastic Programming Tags , , ,

    In this paper, we consider an optimization problem involving crashing an activity network under a single disruption. A disruption is an event whose magnitude and timing are random. When a disruption occurs the duration of an activity, which has not yet started, can change. We formulate a two-stage stochastic mixed integer program, in which the … Read more

    Scenario Decomposition for 0-1 Stochastic Programs: Improvements and Asynchronous Implementation

  • Shabbir Ahmed
  • Deepak Rajan
  • Kevin Ryan
    • Categories Parallel Algorithms, Stochastic Programming Tags , ,

    A recently proposed scenario decomposition algorithm for stochastic 0-1 programs finds an optimal solution by evaluating and removing individual solutions that are discovered by solving scenario subproblems. In this work, we develop an asynchronous, distributed implementation of the algorithm which has computational advantages over existing synchronous implementations of the algorithm. Improvements to both the synchronous … Read more