Article ID: | iaor20001178 |
Country: | Netherlands |
Volume: | 83 |
Issue: | 2 |
Start Page Number: | 229 |
End Page Number: | 252 |
Publication Date: | Oct 1998 |
Journal: | Mathematical Programming |
Authors: | Stougie Leen, Schultz Rdiger, Vlerk Maarten H. van der |
Keywords: | programming: integer |
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.