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.