A scalable global optimization algorithm for stochastic nonlinear programs

DOI10.1007/s10898-019-00769-yzbMath1429.90045OpenAlexW2937649785MaRDI QIDQ2274886

Yankai Cao, Victor M. Zavala

Publication date: 1 October 2019

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-019-00769-y

zbMATH Keywords

global optimizationscalablestochastic NLP

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Related Items (4)

Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation ⋮ A generalized Benders decomposition-based branch and cut algorithm for two-stage stochastic programs with nonconvex constraints and mixed-binary first and second stage variables ⋮ Branch-and-price for a class of nonconvex mixed-integer nonlinear programs ⋮ A graph-based modeling abstraction for optimization: concepts and implementation in Plasmo.jl

Uses Software

• SCIP
• GLOBALLib
• ANTIGONE
• Plasmo.jl

Cites Work

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• Dual decomposition in stochastic integer programming
• Primal-relaxed dual global optimization approach
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• Branching rules revisited
• \(\alpha BB\): A global optimization method for general constrained nonconvex problems
• ANTIGONE: algorithms for coNTinuous/Integer global optimization of nonlinear equations
• Generalized Benders decomposition
• Introduction to Stochastic Programming
• Lagrangean decomposition: A model yielding stronger lagrangean bounds
• The Lagrangian Relaxation Method for Solving Integer Programming Problems

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