Duality gaps in stochastic integer programming (Q5927661)

The note is related to a previous work by \textit{J. R. Birge} and \textit{M. A. H. Dempster} [J. Global Optim. 9, 417-541 (1996; Zbl 0870.90067)] on the duality gap between a mixed integer 0-1 stochastic program and a certain Lagrangian dual. The authors provide an example showing that the duality gap does not necessarily vanish as the size of the sample space increases.