Computational results using the D2 algorithm for some very large scale SMIP
Problems.
Suvrajeet Sen
University of Arizona, SIE Department
NSF Operations Research Program Director
The D2 algorithm refers to a Disjunctive Decomposition method
in which Disjunctive Programming is applied within a Decomposition approach
for two stage stochastic MIP (SMIP) problems. This method is applicable to
SMIP problems in which the first stage decisions are binary, and, the second
stage decisions are either binary or continuous. After discussing the
basic building blocks associated with the method, I will report on some
computational results obtained by Lewis Ntaimo, who is one on my Ph.D.
students. These computational results demonstrate the power of
decomposition in solving SMIP problems whose deterministic equivalents are
very large. Indeed, one of the instances reported has over one million
binary variables in the deterministic equivalent