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

作     者：Caroe, CC Tind, J 

作者机构：Univ Copenhagen Dept Operat Res DK-2100 Copenhagen O Denmark 

出 版 物：《MATHEMATICAL PROGRAMMING》 (数学规划)

年 卷 期：1998年第83卷第3期

页      面：451-464页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0835[工学-软件工程] 0701[理学-数学] 

主　　题：stochastic programming integer programming Benders decomposition general duality theory 

摘      要：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. (C) 1998 The Mathematical Programming Society, Inc. Published by Elsevier Science B.V.