Asgeir Tomasgard (NTNU, Norway)

Nonconvex generalized Benders decomposition for stochastic separable mixed-integer nonlinear programs
Wednesday 6 March 2013 at 15.30, JCMB 6206

Abstract

This paper considers deterministic global optimization of scenario-based, two-stage stochastic mixed-integer nonlinear programs (MINLPs) in which the participating functions are nonconvex and separable in integer and continuous variables. A novel decomposition method based on generalized Benders decomposition, named nonconvex generalized Benders decomposition (NGBD), is developed to obtain ε-optimal solutions of the stochastic MINLPs of interest in finite time. The computational advantage of NGBD over state-of-the-art global optimizers is demonstrated through the computational study of several engineering problems from the natural gas sector.

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