A Two-Level Approach to Large Mixed-Integer Programs with Application to Cogeneration in Energy-Efficient Buildings [PDF]
, 2015 We study a two-stage mixed-integer linear program (MILP) with more than 1 million binary variables in the second stage. We develop a two-level approach by constructing a semi-coarse model (coarsened with respect to variables) and a coarse model ...
Leyffer, Sven, Lin, Fu, Munson, Todd
core
Integrated chance constraints in an ALM model for pension funds [PDF]
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by ...
Vlerk, Maarten H. van der
core +1 more source
Convex approximations for complete integer recourse models [PDF]
We consider convex approximations of the expected value function of a two-stage integer recourse problem. The convex approximations are obtained by perturbing the distribution of the random right-hand side vector.
Vlerk, Maarten H. van der
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An ALM Model for Pension Funds using Integrated Chance Constraints [PDF]
We discuss integrated chance constraints in their role of short-term risk constraints in a strategic ALM model for Dutch pension funds. The problem is set up as a multistage recourse model, with special attention for modeling the guidelines proposed by ...
Klein Haneveld, W.K.. +2 more
core +1 more source
Scalable branching on dual decomposition of stochastic mixed-integer programming problems
Mathematical Programming Computation, 2022 Kibaek Kim, B. Dandurand
semanticscholar +1 more source
Determining locations and layouts for parcel lockers to support supply chain viability at the last mile. [PDF]
Omega, 2022 Kahr M.
europepmc +1 more source
A novel method for inference of acyclic chemical compounds with bounded branch-height based on artificial neural networks and integer programming. [PDF]
Algorithms Mol Biol, 2021 Azam NA +7 more
europepmc +1 more source
On convergence in mixed integer programming [PDF]
, 2018 Let $${P \subseteq {\mathbb R}^{m+n}}$$ be a rational polyhedron, and let P I be the convex hull of $${P \cap ({\mathbb Z}^m \times {\mathbb R}^n)}$$ . We define the integral lattice-free closure of P as the set obtained from P by adding all inequalities
Del Pia, Alberto, Weismantel, Robert
core
Mathematical optimization in classification and regression trees. [PDF]
Top (Berl), 2021 Carrizosa E +2 more
europepmc +1 more source
On multiple simple recourse models [PDF]
We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses.
Vlerk, Maarten H. van der
core +1 more source