期刊
OPERATIONS RESEARCH
卷 67, 期 6, 页码 1659-1677出版社
INFORMS
DOI: 10.1287/opre.2019.1842
关键词
stochastic programming; mixed-integer programming; global branch and bound; two-stage mixed-integer programming; bilevel programming; multifollower bilevel programming
资金
- U.S. Department of Defense [FA2386-12-1-3032]
- National Science Foundation Division of Civil, Mechanical and Manufacturing Innovation [CMMI-1333758, CMMI-1642531, CMMI-1826323]
We introduce a generalized value function of a mixed-integer program, which is simultaneously parameterized by its objective and right-hand side. We describe its fundamental properties, which we exploit through three algorithms to calculate it. We then show how this generalized value function can be used to reformulate two classes of mixed-integer optimization problems: two-stage stochastic mixed-integer programming and multifollower bilevel mixed-integer programming. For both of these problem classes, the generalized value function approach allows the solution of instances that are significantly larger than those solved in the literature in terms of the total number of variables and number of scenarios.
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