Stochastic programming, Scenario tree, Complete recourse, Deterministic equivalent model, 60H35, 65C20, 68Q25,

Cliques, Covers, Extensions, Alternates, Knapsack constraints, 0–1 programs, Tightening,

No abstract

We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0-1 variables and continuous variables. The approach uses the Twin Node Family (TNF) concept within the so-called Branch-and-Fix Coordination algorithmic framework to satisfy the nonanticipativity constraints, jointly with a Benders Decomposition scheme to solve a given LP model at each TNF integer set. As a pilot case, the structuring of a portfolio of Mortgage-Backed Securities under uncertainty in the interest rate path on a given time horizon is used. Some computational experience is reported.

Preprocessing, Overlapping Cliques, Knapsack Constraints,

Multistage scenario tree, Assets and liabilities, Stochastic Integer Programming, Branch-and-Fix Coordination, Mean-risk function, 90C15, 90C11, 90C06,

Multistage stochastic mixed 0–1 programming, Branch-and-fix coordination, Nonanticipativity constraints, Twin node family, Scenario-clustering, Branch and node selection, 90C11, 90C15,

No abstract