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L-shaped decomposition of two-stage stochastic programs with integer recourse

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Abstract

We consider two-stage stochastic programming problems with integer recourse. The L-shaped method of stochastic linear programming is generalized to these problems by using generalized Benders decomposition. Nonlinear feasibility and optimality cuts are determined via general duality theory and can be generated when the second stage problem is solved by standard techniques. Finite convergence of the method is established when Gomory’s fractional cutting plane algorithm or a branch-and-bound algorithm is applied.

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Authors and Affiliations

  1. Department of Operations Research, University of Copenhagen, Universitetsparken 5, DK-2100, Copenhagen Ø, Denmark

    Claus C. Carøe & Jørgen Tind

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  1. Claus C. Carøe
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  2. Jørgen Tind
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Correspondence to Claus C. Carøe.

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Carøe, C.C., Tind, J. L-shaped decomposition of two-stage stochastic programs with integer recourse. Mathematical Programming 83, 451–464 (1998). https://doi.org/10.1007/BF02680570

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  • DOI: https://doi.org/10.1007/BF02680570

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