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Stochastic programming with simple integer recourse

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Abstract

Stochastic integer programs are notoriously difficult. Very few properties are known and solution algorithms are very scarce. In this paper, we introduce the class of stochastic programs with simple integer recourse, a natural extension of the simple recourse case extensively studied in stochastic continuous programs.

Analytical as well as computational properties of the expected recourse function of simple integer recourse problems are studied. This includes sharp bounds on this function and the study of the convex hull. Finally, a finite termination algorithm is obtained that solves two classes of stochastic simple integer recourse problems.

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Authors and Affiliations

  1. Facultés Universitaires Notre-Dame de la Paix, Namur, Belgium

    François V. Louveaux

  2. Department of Econometrics, University of Groningen, P.O. Box 800, 9700 AV, Groningen, Netherlands

    Maarten H. van der Vlerk

Authors
  1. François V. Louveaux
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  2. Maarten H. van der Vlerk
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Additional information

Supported by the National Operations Research Network in the Netherlands (LNMB).

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Louveaux, F.V., van der Vlerk, M.H. Stochastic programming with simple integer recourse. Mathematical Programming 61, 301–325 (1993). https://doi.org/10.1007/BF01582153

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  • DOI: https://doi.org/10.1007/BF01582153

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