A Metaheuristic for Solving Large-Scale Two-Stage Stochastic Mixed 0-1 Programs with the Time Stochastic Dominance Risk Averse Strategy

S. Baptista, A.P. Barbosa-Povóa, L. Escudero, M.I. Gomes, C. Pizarro
ABSTRACT:

Supply Chain Design problems often result into multiperiod stochastic mixed integer problems that are hard to solve. In this paper we propose a metaheuristic algorithm as a specialization for two- stage problems of the so-named Fix-and-Relax Algorithm presented previously for solving large-scale multiperiod stochastic mixed 0–1 optimization problems under a time stochastic dominance risk averse strategy, so-named TSD. Some computational experience is presented.

Publisher
Omega (Published)
Date
Jun, 2015
Keywords
Two-stage stochastic mixed 0-1 optimization | metaheuristic | Fix and Relax | time stochastic dominance

ARE YOU INTERESTED IN A COLLABORATION ?

Whether you are looking for a research group to support you on your research topic or you have a difficult problem to solve, contact us and possibly start a collaboration

Contact us