The integer programming background of a stochastic integer programming algorithm of Dentcheva–Prékopa–Ruszczyński

The integer programming background of a stochastic integer programming algorithm of Dentcheva–Prékopa–Ruszczyński

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Article ID: iaor20031199
Country: United Kingdom
Volume: 17
Issue: 3
Start Page Number: 543
End Page Number: 559
Publication Date: May 2002
Journal: Optimization Methods & Software
Authors:
Keywords: programming: integer
Abstract:

This paper analyzes the algorithmic tools presented by Dentcheva et al. The emphasis is on the choice of Lagrange multipliers and the solution for the special case of independent random variables.

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