Dual decomposition in stochastic integer programming

We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and Lagrangian relaxation. The approach can be applied to multi-stage problems with mixed-integer variables in each time stage. Numerical experience is presented for some t...

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Veröffentlicht in:	Operations research letters Jg. 24; H. 1; S. 37 - 45
Hauptverfasser:	Carøe, Claus C., Schultz, Rüdiger
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 01.02.1999 Elsevier
Schlagworte:	Applied sciences Branch and bound Exact sciences and technology Lagrangian relaxation Mathematical programming Mixed-integer programming Operational research and scientific management Operational research. Management science Stochastic programming Branch and bound Lagrangian relaxation Mixed-integer programming Stochastic programming Mixed integer programming Duality Decomposition Branch and bound method Convergence
ISSN:	0167-6377, 1872-7468
Online-Zugang:	Volltext
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