| Article ID: | iaor20003753 |
| Country: | Netherlands |
| Volume: | 24 |
| Issue: | 1/2 |
| Start Page Number: | 37 |
| End Page Number: | 45 |
| Publication Date: | Feb 1999 |
| Journal: | Operations Research Letters |
| Authors: | Schultz Rdiger, Care Claus C. |
| Keywords: | stochastic processes, lagrange multipliers |
We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and Lagrangian relaxation. The approach can be applied to multi-stage problems with mixed-integer variables in each time stage. Numerical experience is presented for some two-stage test problems.