L-SHAPED DECOMPOSITION OF 2-STAGE STOCHASTIC PROGRAMS WITH INTEGER RECOURSE

Authors
CAROE CC TIND J
Citation
Cc. Caroe et J. Tind, L-SHAPED DECOMPOSITION OF 2-STAGE STOCHASTIC PROGRAMS WITH INTEGER RECOURSE, Mathematical programming, 83(3), 1998, pp. 451-464
Citations number
14
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Computer Science Software Graphycs Programming","Operatione Research & Management Science",Mathematics,"Computer Science Software Graphycs Programming
Journal title
Mathematical programming → ACNP
ISSN journal
00255610
Volume
83
Issue
3
Year of publication
1998
Pages
451 - 464
Database
ISI
SICI code
0025-5610(1998)83:3<451:LDO2SP>2.0.ZU;2-G
Abstract
We consider two-stage stochastic programming problems with integer rec ourse. The L-shaped method of stochastic linear programming is general ized to these problems by using generalized Benders decomposition. Non linear feasibility and optimality cuts are determined via general dual ity theory and can be generated when the second stage problem is solve d by standard techniques. Finite convergence of the method is establis hed when Gomory's fractional cutting plane algorithm or a branch-and-b ound algorithm is applied. (C) 1998 The Mathematical Programming Socie ty, Inc. Published by Elsevier Science B.V.