| 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. . |
| Rights: |
Tots els drets reservats.  |
| Language: |
Anglès |
| Document: |
Article ; recerca ; Versió publicada |
| Subject: |
Stochastic programming ;
Integer recourse ;
Algorithm ;
Gröbner basis |
| Published in: |
Mathematical Programming, vol. 83 n. 2 (1998) p. 229-252, ISSN 0025-5610 |
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