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Two stage linear programming under uncertainty with 0–1 integer first stage variables

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Abstract

Stochastic programs with continuous variables are often solved using a cutting plane method similar to Benders' partitioning algorithm. However, mixed 0–1 integer programs are also solved using a similar procedure along with enumeration. This similarity is exploited in this paper to solve two stage linear programs under uncertainty where the first stage variables are 0–1. Such problems often arise in capital investment. A network investment application is given which includes as a special case a coal transportation problem.

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Authors and Affiliations

  1. California State University, Long Beach, CA, USA

    Richard D. Wollmer

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  1. Richard D. Wollmer
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Wollmer, R.D. Two stage linear programming under uncertainty with 0–1 integer first stage variables. Mathematical Programming 19, 279–288 (1980). https://doi.org/10.1007/BF01581648

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  • DOI: https://doi.org/10.1007/BF01581648

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