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.
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Lulli, G., Sen, S. (2003). Scenario Updating Method for Stochastic Mixed-integer Programming Problems. In: Leopold-Wildburger, U., Rendl, F., Wäscher, G. (eds) Operations Research Proceedings 2002. Operations Research Proceedings 2002, vol 2002. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55537-4_65
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DOI: https://doi.org/10.1007/978-3-642-55537-4_65
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00387-8
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