An algorithm for two-stage stochastic mixed-integer nonlinear convex problems

DOI10.1007/s10479-015-1899-0zbMath1332.90183OpenAlexW432253752WikidataQ57397201 ScholiaQ57397201MaRDI QIDQ256673

Eugenio Mijangos

Publication date: 9 March 2016

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1899-0

zbMATH Keywords

stochastic programmingquadratic programmingconvex programmingouter approximationbranch-and-fix coordination methodmixed-integer nonlinear programming

Mathematics Subject Classification ID

Convex programming (90C25) Mixed integer programming (90C11) Nonlinear programming (90C30) Stochastic programming (90C15)

Related Items (5)

Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation ⋮ Scenario-based cuts for structured two-stage stochastic and distributionally robust \(p\)-order conic mixed integer programs ⋮ A finite \(\epsilon\)-convergence algorithm for two-stage stochastic convex nonlinear programs with mixed-binary first and second-stage variables ⋮ 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 ⋮ Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic

Uses Software

• CPLEX
• Bonmin

Cites Work

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