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Showing 1 to 3 of 3 for “"Stochastic Integer Program"”.
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Multi-stage Stochastic Programming Models in Production Planning
… we study a series of closely related multi-stage stochastic programming models in production planning, from both a modeling and an algorithmic point of view. We first consider a very simple multi-stage stochastic lot-sizing problem, involving a single item with no fixed charge and capacity …
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Parallel algorithms for two-stage stochastic optimization
We develop scalable algorithms for two-stage stochastic program optimizations. We propose performance optimizations such as cut-window mechanism in Stage 1 and scenario clustering in Stage 2 of benders method for solving two-stage stochastic programs. A naive implementation of benders method has …
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Stochastic Programming Approaches to Multi-product Inventory Management Problems with Substitution
… this nonconvex problem as a binary quadratic program. When the demand is stochastic, we formulate the problem as a two-stage stochastic program with mixed integer recourse, derive several necessary optimality conditions, prove the submodularity of the profit function, develop polynomial-time …