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Scenario Updating Method for Stochastic Mixed-integer Programming Problems

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Conference contribution/Paper › peer-review

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Scenario Updating Method for Stochastic Mixed-integer Programming Problems. / Lulli, Guglielmo; Sen, Suvrajeet.
The OR 2002 proceedings. ed. / U Leopold-Wildburger; F Rendl; G Wäscher. Springer, 2002. p. 401-406 (Operations Research Proceedings).

Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Conference contribution/Paper › peer-review

Harvard

Lulli, G & Sen, S 2002, Scenario Updating Method for Stochastic Mixed-integer Programming Problems. in U Leopold-Wildburger, F Rendl & G Wäscher (eds), The OR 2002 proceedings. Operations Research Proceedings, Springer, pp. 401-406. https://doi.org/10.1007/978-3-642-55537-4_65

APA

Lulli, G., & Sen, S. (2002). Scenario Updating Method for Stochastic Mixed-integer Programming Problems. In U. Leopold-Wildburger, F. Rendl, & G. Wäscher (Eds.), The OR 2002 proceedings (pp. 401-406). (Operations Research Proceedings). Springer. https://doi.org/10.1007/978-3-642-55537-4_65

Vancouver

Lulli G, Sen S. Scenario Updating Method for Stochastic Mixed-integer Programming Problems. In Leopold-Wildburger U, Rendl F, Wäscher G, editors, The OR 2002 proceedings. Springer. 2002. p. 401-406. (Operations Research Proceedings). doi: 10.1007/978-3-642-55537-4_65

Author

Lulli, Guglielmo ; Sen, Suvrajeet. / Scenario Updating Method for Stochastic Mixed-integer Programming Problems. The OR 2002 proceedings. editor / U Leopold-Wildburger ; F Rendl ; G Wäscher. Springer, 2002. pp. 401-406 (Operations Research Proceedings).

Bibtex

@inproceedings{ebebe5b3682f42f0a1b6be356129b125,
title = "Scenario Updating Method for Stochastic Mixed-integer Programming Problems",
abstract = "In this paper, we propose an approximation scheme to solve large stochastic mixed-integer programming (SMIP) problems with fixed recourse. We refer to this as the Scenari o Updating Method. The algorithm is based on solving instances of the problem, which cont ain only a subset of the scenarios in the scenario tree. At each iteration, th e subset of scenarios is updated by adding only those scenarios which suggest a significant potential for change in the objective function value. The algorithm is terminated when the potential for change is insignificant.Different selection and updating rules are discussed.",
author = "Guglielmo Lulli and Suvrajeet Sen",
year = "2002",
doi = "10.1007/978-3-642-55537-4_65",
language = "English",
isbn = "9783540003878",
series = "Operations Research Proceedings",
publisher = "Springer",
pages = "401--406",
editor = "U Leopold-Wildburger and F Rendl and G W{\"a}scher",
booktitle = "The OR 2002 proceedings",

}

RIS

TY - GEN

T1 - Scenario Updating Method for Stochastic Mixed-integer Programming Problems

AU - Lulli, Guglielmo

AU - Sen, Suvrajeet

PY - 2002

Y1 - 2002

N2 - In this paper, we propose an approximation scheme to solve large stochastic mixed-integer programming (SMIP) problems with fixed recourse. We refer to this as the Scenari o Updating Method. The algorithm is based on solving instances of the problem, which cont ain only a subset of the scenarios in the scenario tree. At each iteration, th e subset of scenarios is updated by adding only those scenarios which suggest a significant potential for change in the objective function value. The algorithm is terminated when the potential for change is insignificant.Different selection and updating rules are discussed.

AB - In this paper, we propose an approximation scheme to solve large stochastic mixed-integer programming (SMIP) problems with fixed recourse. We refer to this as the Scenari o Updating Method. The algorithm is based on solving instances of the problem, which cont ain only a subset of the scenarios in the scenario tree. At each iteration, th e subset of scenarios is updated by adding only those scenarios which suggest a significant potential for change in the objective function value. The algorithm is terminated when the potential for change is insignificant.Different selection and updating rules are discussed.

U2 - 10.1007/978-3-642-55537-4_65

DO - 10.1007/978-3-642-55537-4_65

M3 - Conference contribution/Paper

SN - 9783540003878

T3 - Operations Research Proceedings

SP - 401

EP - 406

BT - The OR 2002 proceedings

A2 - Leopold-Wildburger, U

A2 - Rendl, F

A2 - Wäscher, G

PB - Springer

ER -