A cutting-plane approach to mixed 0–1 stochastic integer programs

✍ Scribed by Claus C. Carøe; Jørgen Tind

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 773 KB
• Volume: 101
• Category: Article
• ISSN: 0377-2217
• DOI: 10.1016/s0377-2217(96)00399-2

✦ Synopsis

We consider a mixed 0-1 integer programming problem with dual block-angular structure arising in two-stage stochastic programming. A relaxation is proposed such that the problem is decomposed into subproblems each corresponding to the outcomes of the random variable. The convex hull of feasible solutions for the relaxation is characterized using results from disjunctive programming and it is shown how Lift-and-Project cuts can be generated for one subproblem and made valid for different outcomes. (~) 1997 Elsevier Science B.V.