A hybrid parametric/stochastic programming approach for mixed-integer linear problems under uncertainty
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In this paper, a novel hybrid parametric/stochastic approach for the solution of stochastic mixed-integer problems is introduced. The approach, based on a two-stage stochastic programming framework recently proposed by the authors, effectively avoids the repetitive solution of the second-stage subproblems by solving instead multiparametric programs, resulting in a much more efficient evaluation of the expected value. The approach is detailed with two example problems in which computational issues are also discussed. 1997 American Chemical Society.
