Transcription of BENDERS DECOMPOSITION WITH GAMS - …
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BENDERS DECOMPOSITION WITH GAMS - …
BENDERS DECOMPOSITION WITH GAMSERWIN document describes an implementation of BENDERS Decom- position using DECOMPOSITION [2] is a popular technique in solving certain classes of dif-ficult problems such as stochastic programming problems[7, 13] and mixed-integernonlinear programming problems[6, 5]. In this document we describe how a Ben-ders DECOMPOSITION algorithm for a MIP problem can be implemented in aGAMS environment. For stochastic programming examples of BENDERS Decompositionimplemented inGAMSsee [9, 11]. For a simple generalized BENDERS model for anMINLP model see [10]. DECOMPOSITION for MIP ProblemsUsing the notation in [12] , we can state the MIP problem as:MIPminimizex,ycTx+fTyAx+By by Yx 0 Ifyis fixed to a feasible integer configuration, the resulting model to solve is:minxcTxAx b Byx 0(1)The complete minimization problem can therefore be written as:(2)miny Y[fTy+ minx 0{cTx|Ax b By}]The dual of the inner LP problem is:maxu(b By)TuATu cu 0(3)Date: 20 december 2002, revised march,april KALVELAGENIn the BENDERS DECOMPOSITION framework two different problems are solved.
BENDERS DECOMPOSITION WITH GAMS ERWIN KALVELAGEN Abstract. This document describes an implementation of Benders Decom-position using GAMS…
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