A note on constraint aggregation and value functions for two-stage stochastic integer programs

DOI10.1016/j.disopt.2014.11.003zbMath1308.90119OpenAlexW2055072792MaRDI QIDQ2339848

Oleg A. Prokopyev, Andrew C. Trapp

Publication date: 9 April 2015

Published in: Discrete Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.disopt.2014.11.003

zbMATH Keywords

stochastic programmingbranch-and-boundconstraint aggregationvalue function

Mathematics Subject Classification ID

Integer programming (90C10) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Stochastic programming (90C15)

Related Items (3)

On exact solution approaches for bilevel quadratic 0-1 knapsack problem ⋮ Solving Stochastic and Bilevel Mixed-Integer Programs via a Generalized Value Function ⋮ A Gilmore-Gomory construction of integer programming value functions

Uses Software

• CPLEX

Cites Work

• Unnamed Item
• Two-stage quadratic integer programs with stochastic right-hand sides
• L-shaped decomposition of two-stage stochastic programs with integer recourse
• Dual decomposition in stochastic integer programming
• Decomposition of test sets in stochastic integer programming
• A finite branch-and-bound algorithm for two-stage stochastic integer programs
• On structure and stability in stochastic programs with random technology matrix and complete integer recourse
• Two-stage integer programs with stochastic right-hand sides: A superadditive dual approach
• Surrogate Constraint Duality in Mathematical Programming
• On a Level-Set Characterization of the Value Function of an Integer Program and Its Application to Stochastic Programming
• The Theory and Computation of Knapsack Functions

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