Dual decomposition in stochastic integer programming

Dual decomposition in stochastic integer programming

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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: ,
Keywords: stochastic processes, lagrange multipliers
Abstract:

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.

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