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

Citation:
Baptista, Susana, Ana Paula Barbosa-povoa, Laureano Escudero, Maria Isabel Gomes, and Celeste Pizarro. "A Metaheuristic for Solving Large-Scale Two-Stage Stochastic Mixed 0-1 Programs with the Time Stochas- tic Dominance Risk Averse Strategy." In 12th International Symposium on Process Systems Engineering and 25th European Symposium on Computer Aided Process Engineering. , 857-862. Copenhagen, Denmark : Elsevier, 2015.

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.

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