Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Random Recourse Academic Article

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.

authors

• Ntaimo, Lewis

published proceedings

• OPERATIONS RESEARCH

author list (cited authors)

• Ntaimo, L.

citation count

• 38

complete list of authors

• Ntaimo, Lewis

publication date

• January 2010

publisher

• Institute for Operations Research and the Management Sciences (INFORMS)  Publisher

published in

• Operations Research  Journal

keywords

• Disjunctive Programming
• Integer Programming
• Stochastic Programming

Digital Object Identifier (DOI)

• 10.1287/opre.1090.0693

start page

• 229

end page

• 243

volume

• 58

issue

• 1

URL

• http://dx.doi.org/10.1287/opre.1090.0693