n66834SE Academic Article uri icon

abstract

  • This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting planes based on disjunctive programming to be generated for each scenario subproblem under a temporal decomposition setting of the SIP problem. A new class of valid inequalities for mixed 0-1 SIP with random recourse is presented. In particular, we derive valid inequalities that allow for scenario subproblems for SIP with random recourse but deterministic technology matrix and right-hand side vector to share cut coefficients. The valid inequalities are used to derive a disjunctive decomposition method whose derivation has been motivated by real-life stochastic server location problems with random recourse, which find many applications in operations research. Computational results with large-scale instances to demonstrate the potential of the method are reported.

published proceedings

  • Operations Research

author list (cited authors)

  • Ntaimo, L.

publication date

  • January 1, 2010 11:11 AM