期刊
INFORMS JOURNAL ON COMPUTING
卷 28, 期 3, 页码 483-499出版社
INFORMS
DOI: 10.1287/ijoc.2016.0695
关键词
stochastic integer programming; integer L-shaped method; decomposition methods; forbidden vertices
资金
- Air Force Office of Scientific [Research Award] [FA9550-12-1-0154]
- National Science Foundation [1331426]
- Direct For Computer & Info Scie & Enginr
- Division of Computing and Communication Foundations [1331426] Funding Source: National Science Foundation
We consider the integer L-shaped method for two-stage stochastic integer programs. To improve the performance of the algorithm, we present and combine two strategies. First, to avoid time-consuming exact evaluations of the second-stage cost function, we propose a simple modification that alternates between linear and mixed-integer subproblems. Next, to better approximate the shape of the second-stage cost function, we present a general framework to generate optimality cuts via a cut-generating linear program that considers information from all solutions found up to any given stage of the method. To address the impact of the proposed approaches, we report computational results on two classes of stochastic integer problems.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据