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Evolutionary Computation

Winter 2009, Vol. 17, No. 4, Pages 511-526
(doi: 10.1162/evco.2009.17.4.17404)
© 2009 by the Massachusetts Institute of Technology
Hybrid Evolutionary Optimization of Two-Stage Stochastic Integer Programming Problems: An Empirical Investigation
Article PDF (331.18 KB)
Abstract

In this contribution, we consider decision problems on a moving horizon with significant uncertainties in parameters. The information and decision structure on moving horizons enables recourse actions which correct the here-and-now decisions whenever the horizon is moved a step forward. This situation is reflected by a mixed-integer recourse model with a finite number of uncertainty scenarios in the form of a two-stage stochastic integer program. A stage decomposition-based hybrid evolutionary algorithm for two-stage stochastic integer programs is proposed that employs an evolutionary algorithm to determine the here-and-now decisions and a standard mathematical programming method to optimize the recourse decisions. An empirical investigation of the scale-up behavior of the algorithms with respect to the number of scenarios exhibits that the new hybrid algorithm generates good feasible solutions more quickly than a state of the art exact algorithm for problem instances with a high number of scenarios.