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

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

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Article ID: iaor19992033
Country: Netherlands
Volume: 101
Issue: 2
Start Page Number: 306
End Page Number: 316
Publication Date: Sep 1997
Journal: European Journal of Operational Research
Authors: ,
Keywords: programming: integer
Abstract:

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.

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