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Decomposition algorithms with parametric Gomory cuts for two-stage stochastic integer programs
2012
Mathematical programming
We consider a class of two-stage stochastic integer programs with binary variables in the first stage and general integer variables in the second stage. We develop decomposition algorithms akin to the L-shaped or Benders' methods by utilizing Gomory cuts to obtain iteratively tighter approximations of the second-stage integer programs. We show that the proposed methodology is flexible in that it allows several modes of implementation, all of which lead to finitely convergent algorithms. We
doi:10.1007/s10107-012-0615-y
fatcat:gawx2h53wffqjbui22q55cntcy