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    Alberto Aguilera 23 – E 28015 Madrid – Tel: 34 91 542 2800 – Fax: 34 91 541 1132 – www.iit.coilla!.edu OPTIMIZACIÓN ESTOCÁSTICA Andrés Ramos Santiago Cerisola Febrero 2016 [ http://www.iit.comillas.edu/aramos/intro_simio.htm ]    01/02/2016 i   ÍNDICE I.1   I NTRO!CCI N  ........................................................................................... #   I.1.1 Reseña histórica ....................................................................... 12    I.2   O $TI%I&ACI N 'IN(A' )I(TA$A * %!'TI(TA$A  ......................................... 1+   I.#   T ,CNICAS ( (SCO%$OSICI N  ................................................................. 1-   I.    (SCO%$OSICI N ( ) (N(RS  ................................................................. 2+   I.4.1 Descripción general ................................................................... 25    I.4.2 Cortes de infactibilidad .............................................................. 28    I.4.3 Algorito ................................................................................. 31   I.4.4 Caso e!eplo ............................................................................ 34   I.4.5 Algorito escrito en A#$ ....................................................... 35    I.4.% Algorito escrito en #  A&'A(   ..................................................... 43    I.4.) *roblea de transporte con coste fi!o .......................................... 44   I.4.8 +ariables d,ales del problea lineal bietapa ................................. 4-    I.+    (SCO%$OSICI N (  ANT&I/  O'F(  ..................................................... +1   I.5.1 Descripción general ................................................................... 51   I.5.2 Algorito ................................................................................. 5%    I.5.3 Algorito escrito en A#$ ....................................................... 5)    I.5.4 Algorito escrito en #  A&'A(   ..................................................... %-    I.6   R ('AACI N 'A/RAN/IANA  ...................................................................... -1   I.%.1 Descripción general ................................................................... )1   I.%.2 Cortes de acotaiento ............................................................... )2    I.%.3 Algorito ................................................................................. )3    I.%.4 Algorito escrito en A#$ ....................................................... ))    I.%.5 *roblea de transporte con coste fi!o .......................................... -1   I.-   O TRAS T,CNICAS ( (SCO%$OSICI N  ...................................................... 3+   I.).1 Descoposición *rialD,al ...................................................... -5    I.).2 Descoposición anidada ............................................................ -%    I.).3 Caso e!eplo .......................................................................... 1//    I.).4 #odelo hidrot0rico ............................................................... 1/2    I.4   O $TI%I&ACI N 'IN(A' (STOC5STICA )I(TA$A * %!'TI(TA$A  ................. 103   I.8.1 (ietapa .................................................................................. 1/-    I.8.2 #,ltietapa .............................................................................. 112    I.3   % (ORAS (N 'AS T,CNICAS ( (SCO%$OSICI N  .................................... 11+   I.10   S I%!'ACI N (N O$TI%I&ACI N 'IN(A' (STOC5STICA )I(TA$A  ............... 113   I.1/.1 &0cnicas de red,cción de ariana .......................................... 121   I.10.1.1 Nmeros aleatorios 7om8nes ........................................................................................ 12#   I.10.1.2 9ariables antitéti7as ..................................................................................................... 12   I.10.1.# 9ariable de 7ontrol ....................................................................................................... 12+      ii 01/02/2016 I.10.1. %8estreo :or im:ortan7ia............................................................................................. 12-   I.10.1.+ %8estreo estrati;i7ado .................................................................................................. 1##   I.11   R (F(R(NCIAS  ........................................................................................ 1#-   I.12   ) I)'IOT(CA ( $RO)'(%AS  ................................................................... 1#  
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