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On Generating Lagrangian Cuts for Two-Stage Stochastic Integer Programs
[article]
2022
arXiv
pre-print
We investigate new methods for generating Lagrangian cuts to solve two-stage stochastic integer programs. Lagrangian cuts can be added to a Benders reformulation, and are derived from solving single scenario integer programming subproblems identical to those used in the nonanticipative Lagrangian dual of a stochastic integer program. While Lagrangian cuts have the potential to significantly strengthen the Benders relaxation, generating Lagrangian cuts can be computationally demanding. We
arXiv:2106.04023v2
fatcat:ta7hu6dowfht5ib5gjppwyjgd4