Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables

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• 作者：Hadi Mohammadi Bidhandi^a ; ^b ; ^{H_Mohammadi@azad.ac.ir} ; ^{Hadi.Mohammadi@telfer.uottawa.ca} ; Jonathan Patrick^b ; ^{Patrick@telfer.uottawa.ca}
• 关键词：Two-stage stochastic programming ; Sample average approximation ; Mixed integer linear programming ; Benders&rsquo ; decomposition ; Supply chain network design
• 刊名：Applied Mathematical Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：41
• 期：Complete
• 页码：582-595
• 全文大小：806 K
• 卷排序：41

文摘

An accelerated solution method is proposed to solve the two-stage stochastic program. The method improves the main structure of the sample average approximation algorithm. The computational process is significantly accelerated to solve real-sized problems. The relative optimality gaps are significantly reduced using the proposed method. An improved model is presented for stochastic supply chain network design problems.