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HEURISTICS
2016

Proximity Benders: a decomposition heuristic for stochastic programs

3 years 16 days ago
Proximity Benders: a decomposition heuristic for stochastic programs
is eventually found and the method terminates. As convergence may require a large amount of computing time for hard instances, the method unsatisfactory from a heuristic point of view. Proximity Search is a recently-proposed heuristic paradigm in which the problem at hand is modified and iteratively solved with the aim of producing a sequence of improving feasible solutions. As such, Proximity Search and Benders decomposition naturally complement each other, in particular when the emphasis is on seeking high-quality, but not necessarily optimal, solutions. In this paper, we investigate the use of Proximity Search as a tactical tool to drive Benders decomposition, and computationally evaluate its performance as a heuristic on instances of different stochastic programming problems.
Natashia Boland, Matteo Fischetti, Michele Monaci,
Added 03 Apr 2016
Updated 03 Apr 2016
Type Journal
Year 2016
Where HEURISTICS
Authors Natashia Boland, Matteo Fischetti, Michele Monaci, Martin W. P. Savelsbergh
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