A finite branch-and-bound algorithm for two-stage stochastic integer programs
نویسندگان
چکیده
منابع مشابه
A finite branch-and-bound algorithm for two-stage stochastic integer programs
This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second-stage integer problem to develop a novel global optimization algorithm. The proposed scheme departs from those in the current literature in that it avoids explicit enumeration of the search space while guaranteeing f...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2004
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-003-0475-6