L-shaped decomposition of two-stage stochastic programs with integer recourse

L-shaped decomposition of two-stage stochastic programs with integer recourse

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Article ID: iaor20001180
Country: Netherlands
Volume: 83
Issue: 3
Start Page Number: 451
End Page Number: 466
Publication Date: Nov 1998
Journal: Mathematical Programming
Authors: ,
Keywords: programming: integer
Abstract:

We consider two-stage stochastic programming problems with integer recourse. The L-shaped method of stochastic linear programming is generalized to these problems by using generalized Benders decomposition. Nonlinear feasibility and optimality cuts are determined via general duality theory and can be generated when the second stage problem is solved by standard techniques. Finite convergence of the method is established when Gomory's fractional cutting plane algorithm or a branch-and-bound algorithm is applied.

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