eng
L-shaped decomposition of two-stage stochastic programs with integer recourse
Carøe, Claus C.
Tind, Jørgen
Article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
1998
Stochastic programming
Integer programming
Benders decomposition
General duality theory
Mathematical Programming ; vol. 83 n. 3 (1998) p. 451-464
http://ddd.uab.cat/record/168
00255610v83n3p451
We consider two-stage stochastic programming problems with integer recourse. The L-shaped method of stochastic linear programming is generalized to these problems by using generalized Benders decomposition. Nonlinear feasibility and optimality cuts are determined via general duality theory and can be generated when the second stage problem is solved by standard techniques. Finite convergence of the method is established when Gomory's fractional cutting plane algorithm or a branch-and-bound algorithm is applied..
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