Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Random Recourse

Lewis Ntaimo
2010 Operations Research  
This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting planes based on disjunctive programming to be generated for each scenario subproblem under a temporal decomposition setting of the SIP problem. A new class of valid inequalities for mixed 0-1 SIP with random recourse is presented. In particular, valid inequalities that allow for sharing cut coefficients among scenario
more » ... blems for SIP with random recourse but deterministic technology matrix and righthand side vector are obtained. The valid inequalities are used to derive a disjunctive decomposition method whose derivation has been motivated by real-life stochastic server location problems with random recourse, which find many applications in operations research. Computational results with large-scale instances to demonstrate the potential of the method are reported.
doi:10.1287/opre.1090.0693 fatcat:2jqxhi3abve2ho2gtgbzit3fmq