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A Branch and Bound Method for Stochastic Global Optimization

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Author Info

  • V.I. Norkin
  • G.C. Pflug
  • A. Ruszczynski

Abstract

A stochastic version of the branch and bound method is proposed for solving stochastic global optimization problems. The method, instead of deterministic bounds, uses stochastic upper and lower estimates of the optimal value of subproblems, to guide the partitioning process. Almost sure convergence of the method is proved and random accuracy estimates derived. Methods for constructing random bounds for stochastic global optimization problems are discussed. The theoretical considerations are illustrated with an example of a facility location problem.

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File URL: http://www.iiasa.ac.at/Publications/Documents/WP-96-065.pdf
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File URL: http://www.iiasa.ac.at/Publications/Documents/WP-96-065.ps
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Bibliographic Info

Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number wp96065.

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Date of creation: Jun 1996
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Handle: RePEc:wop:iasawp:wp96065

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  1. LABBE, Martine & PEETERS, Dominique & THISSE, Jacques-François, 1993. "Location on Networks," CORE Discussion Papers 1993040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. V.I. Norkin & Y.M. Ermoliev & A. Ruszczynski, 1994. "On Optimal Allocation of Indivisibles Under Uncertainty," Working Papers wp94021, International Institute for Applied Systems Analysis.
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Cited by:
  1. Y.M. Ermoliev & V.I. Norkin, 1998. "Monte Carlo Optimization and Path Dependent Nonstationary Laws of Large Numbers," Working Papers ir98009, International Institute for Applied Systems Analysis.
  2. Contreras, Ivan & Cordeau, Jean-François & Laporte, Gilbert, 2011. "Stochastic uncapacitated hub location," European Journal of Operational Research, Elsevier, vol. 212(3), pages 518-528, August.
  3. Klein Haneveld, W.K. & Vlerk, M.H. van der, 2000. "Optimizing electricity distribution using two-stage integer recourse models," Research Report 00A26, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  4. Vlerk, Maarten H. van der & Klein Haneveld, W.K. & Drijver, S.J., 2000. "Asset liability management modeling using multi-stage mixed-integer stochastic programming," Research Report 00A52, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  5. repec:hal:wpaper:hal-00759677 is not listed on IDEAS
  6. Lee, Der-Horng & Dong, Meng & Bian, Wen, 2010. "The design of sustainable logistics network under uncertainty," International Journal of Production Economics, Elsevier, vol. 128(1), pages 159-166, November.

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