eng
Solving stochastic programs with integer recourse by enumeration : A framework using Gröbner basis reductions
Schultz, Rüdiger
Stougie, Leen
van der Vlerk, Maarten H.
Article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
1998
Stochastic programming
Integer recourse
Algorithm
Gröbner basis
Mathematical Programming ; vol. 83 n. 2 (1998) p. 229-252
http://ddd.uab.cat/record/173
00255610v83n2p229
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..
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