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| Home > Articles > Published articles > Solving stochastic programs with integer recourse by enumeration |
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| Home > Articles > Published articles > Solving stochastic programs with integer recourse by enumeration |
| Date: | 1998 |
| Abstract: | In this paper we present a framework for solving stochastic programs with complete integer recourse and discretely distributed right-hand side vector, using Gröbner basis methods from computational algebra to solve the numerous second-stage integer programs. Using structural properties of the expected integer recourse function, we prove that under mild conditions an optimal solution is contained in a finite set. Furthermore, we present a basic scheme to enumerate this set and suggest improvements to reduce the number of function evaluations needed. . |
| Form: | Article ; article ; publishedVersion |
| Subject: | Stochastic programming ; Integer recourse ; Algorithm ; Gröbner basis |
| Published in: | Mathematical Programming. Elsevier, vol. 83 n. 2 (1998) p. 229-252, ISSN 0025-5610 |
24 p, 1.1 MB  Accés restringit a la UAB |
