Hyperrectangular partition schemes for two-stage stochastic linear mixed integer programming problems

A new exact algorithm is developed in this paper for solving two-stage stochastic linear mixed integer programming problems with pure integer variables in the first stage and continuous variables in the second stage. By combining Benders' decomposition method with hyperrectangular cut and parti...

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Vydané v:Optimization Ročník 74; číslo 16; s. 4207 - 4222
Hlavný autor: Wang, Fenlan
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Philadelphia Taylor & Francis 10.12.2025
Taylor & Francis LLC
Predmet:
Benders decomposition
hyperrectangular partition
Integer programming
Mixed integer
optimality gap
Optimization
Two-stage stochastic mixed integer programs
ISSN:0233-1934, 1029-4945
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Shrnutí:A new exact algorithm is developed in this paper for solving two-stage stochastic linear mixed integer programming problems with pure integer variables in the first stage and continuous variables in the second stage. By combining Benders' decomposition method with hyperrectangular cut and partition technique, we can cut off some hyperrectangulars where there is no optimal solution of the original problem. Integrating such solution scheme into a branch-and-bound framework, the proposed solution method reduces the optimality gap successively in the solution iterations. Furthermore, the proposed solution method can find the optimal solution within a finite number of iterations. The computational results show the solution method is promising.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0233-1934
1029-4945
DOI:10.1080/02331934.2024.2400338