Decomposition algorithms with parametric Gomory cuts for two-stage stochastic integer programs

Dinakar Gade, Simge Küçükyavuz, Suvrajeet Sen
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
more » ... trate our algorithms using examples from the literature. We report computational results using the stochastic server location problem instances which suggest that our decomposition-based approach scales better with increases in the number of scenarios than a state-of-the art solver which was used to solve the deterministic equivalent formulation.
doi:10.1007/s10107-012-0615-y fatcat:gawx2h53wffqjbui22q55cntcy