Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management (2020), European Journal of Operational Research 285. 988–1001
[:es]Laureano F. Escudero (Rey Juan Carlos University of Madrid), M. Araceli Garín (University of País Vasco), Juan F. Monge (Miguel Hernández University of Elche) and Aitziber Unzueta (University of País Vasco).
Abstract: Two matheuristic decomposition algorithms are introduced. The ﬁrst one is a Progressive Hedging type so-named Regularized scenario Cluster Progressive Algorithm. The second one is a Frank-Wolfe PH type so-named Regularized […]