A branch and bound method for stochastic global optimization
Norkin, Vladimir I.
Pflug, Georg Ch.
Ruszczynski, Andrzej

Date: 1998
Abstract: A stochastic branch and bound method for solving stochastic global optimization problems is proposed. As in the deterministic case, the feasible set is partitioned into compact subsets. To guide the partitioning process the method uses stochastic upper and lower estimates of the optimal value of the objective function in each subset. Convergence of the method is proved and random accuracy estimates derived. Methods for constructing stochastic upper and lower bounds are discussed. The theoretical considerations are illustrated with an example of a facility location problem. .
Language: Anglès.
Document: Article ; recerca ; article ; publishedVersion
Subject: Stochastic programming ; Global optimization ; Branch and bound method ; Facility location
Published in: Mathematical Programming, vol. 83 n. 3 (1998) p. 425-450, ISSN 0025-5610

26 p, 871.8 KB
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 Record created 2006-03-13, last modified 2017-10-28

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