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...

Full description

Saved in:

Bibliographic Details
Published in:	Operations research letters Vol. 24; no. 1; pp. 37 - 45
Main Authors:	Carøe, Claus C., Schultz, Rüdiger
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.02.1999 Elsevier
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!