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Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage

Author

Listed:
  • Aldasoro Marcellan, Unai
  • Garín Martín, María Araceli
  • Merino Maestre, María
  • Pérez Sainz de Rozas, Gloria

Abstract

We present a scheme to generate clusters submodels with stage ordering from a (symmetric or a nonsymmetric one) multistage stochastic mixed integer optimization model using break stage. We consider a stochastic model in compact representation and MPS format with a known scenario tree. The cluster submodels are built by storing first the 0-1 the variables, stage by stage, and then the continuous ones, also stage by stage. A C++ experimental code has been implemented for reordering the stochastic model as well as the cluster decomposition after the relaxation of the non-anticipativiy constraints until the so-called breakstage. The computational experience shows better performance of the stage ordering in terms of elapsed time in a randomly generated testbed of multistage stochastic mixed integer problems.

Suggested Citation

  • Aldasoro Marcellan, Unai & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2013. "Generating cluster submodels from a multistage stochastic mixed integer optimization model using break stage," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  • Handle: RePEc:ehu:biltok:10416
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