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Cutting Planes for Multistage Stochastic Integer Programs

✍ Scribed by Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.


Book ID
121650534
Publisher
INFORMS
Year
2009
Tongue
English
Weight
272 KB
Volume
57
Category
Article
ISSN
0030-364X

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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 solu