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

被引：123

作者：

Caroe, CC ^{[1
]}

Tind, J ^{[1
]}

机构：

[1] Univ Copenhagen, Dept Operat Res, DK-2100 Copenhagen O, Denmark

来源：

MATHEMATICAL PROGRAMMING | 1998年 / 83卷 / 03期

关键词：

stochastic programming; integer programming; Benders decomposition; general duality theory;

D O I：

10.1007/BF02680570

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

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.

引用

页码：451 / 464

页数：14

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