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1 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, ENSTA ParisTech UMA - Unité de Mathématiques Appliquées, Univ.
Paris-Saclay, ENSTA ParisTech - École Nationale Supérieure de Techniques Avancées, Polytechnique - X, CNRS - Centre National de la Recherche Scientifique : UMR7641

Abstract : We consider a model of medium-term commodity contracts management.
Randomness takes place only in the prices on which the commodities are exchanged, whilst state variable is multi-dimensional, and decision variable is integer.
In our previous article, we proposed an algorithm based on the quantization of random process and a dual dynamic programming type approach to solve the continuous relaxation problem.
In this paper, we study the multi-stage stochastic mixed integer linear program SMILP and show the difficulty when using dual programming type algorithm.
We propose an approach based on the cutting plane method combined with the algorithm in our previous article, which gives an upper and a lower bound of the optimal value and a sub-optimal integer solution.
Finally, a numerical test on a real problem in energy market is provided.


Keywords : integer programming stochastic programming dual dynamic programming cutting plane method





Autor: Zhihao Cen -

Fuente: https://hal.archives-ouvertes.fr/



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