A two-stage stochastic integer programming approach

• Autores: María Inmaculada Garín Martín, Laureano Fernando Escudero Bueno, María Merino Maestre, Gloria Pérez Sainz de Rozas
• Localización: Documentos de Trabajo BILTOKI, ISSN-e 1134-8984, Nº. 1, 2005
• Idioma: inglés
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• Resumen

  • We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0--1 variables and continuous variables. The approach uses the Twin Node Family (TNF) concept within the algorithmic framework so-called {Branch-and-Fix Coordination} for satisfying the {nonanticipativity} constraints, jointly with a Benders Decomposition scheme for solving a given {LP} model at each {TNF} integer set. As an illustrative case, the structuring of a portfolio of Mortgage-Backed Securities under uncertainty in the interest rate path along a given time horizon is used. Some computational experience is reported.