A branch-and-cut algorithm for two-stage stochastic mixed-binary programs with continuous first-stage variables Academic Article

abstract

• This paper presents a branch-and-cut method for two-stage Stochastic Mixed-Integer Programming (SMIP) problems with continuous first-stage variables. This method is derived based on disjunctive decomposition D2 for SMIP, an approach in which disjunctive programming is used to derive valid inequalities for SMIP. The novelty of the proposed method derives from branching on the first-stage continuous domain while the branch-and-bound process is guided by the disjunction variables in the second-stage. Finite convergence of the algorithm for mixed-binary second-stage is established and a numerical example to illustrate the new method is given. 2007, Inderscience Publishers.

authors

• Ntaimo, Lewis

published proceedings

• INTERNATIONAL JOURNAL OF COMPUTATIONAL SCIENCE AND ENGINEERING

author list (cited authors)

• Ntaimo, L., & Sen, S.

citation count

• 8

complete list of authors

• Ntaimo, Lewis||Sen, Suvrajeet

publication date

• April 2007

publisher

• Inderscience Publishers  Publisher

published in

• International Journal of Computational Science and Engineering  Journal

keywords

• Branch-and-bound
• Branch-and-cut
• Disjunctive Decomposition
• Stochastic Programming

Digital Object Identifier (DOI)

• 10.1504/IJCSE.2007.017829

start page

• 232

end page

• 241

volume

• 3

issue

• 3

URL

• http://dx.doi.org/10.1504/ijcse.2007.017829