Abstract:In this paper, we propose the novel p-branch-and-bound method for solving two-stage stochastic programming problems whose deterministic equivalents are represented by mixed-integer quadratically constrained quadratic programming (MIQCQP) models. The precision of the solution generated by the p-branch-and-bound method can be arbitrarily adjusted by altering the value of the precision factor p. The proposed method combines two key techniques. The first one, named p-Lagrangian decomposition, generates a mixed-int… Show more
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