Cutting Planes for Multistage Stochastic Integer Programs
نویسندگان
چکیده
منابع مشابه
Cutting Planes for Multistage Stochastic Integer Programs
This paper addresses the problem of finding cutting planes for multi-stage stochastic integer programs.We give a general method for generating cutting planes for multi-stage stochastic integer programs basedon combining inequalities that are valid for the individual scenarios. We apply the method to generatecuts for a stochastic version of a dynamic knapsack problem and to stochasti...
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We investigate the use of cutting planes for integer programs with general integer variables. We show how cutting planes arising from knapsack inequalities can be generated and lifted as in the case of 0{1 variables. We also explore the use of Gomory's mixed integer cuts. We address both theoretical and computational issues and show how to embed these cutting planes in a branch-and-bound framew...
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For every positive integer l, we consider a zero-one linear program describing the following optimization problem: maximize the number of nodes in a clique of an n-vertex graph whose chromatic number does not exceed l. Although l is a trivial solution for this problem, we show that any cutting-plane proof certifying that no such graph can have a clique on more than r l vertices must generate an...
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As renewable energy penetration rates continue to increase in power systems worldwide, newchallenges arise for system operators in both regulated and deregulated electricity markets tosolve the security constrained unit commitment problem with intermittent generation (due torenewables) and uncertain load, in order to ensure system reliability and maintain cost effec-tiveness. In...
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In the general mixed-integer case, the family of Chvátal-Gomory cuts does not comply with (i) and (ii) (see, for example, [8]). Therefore, we need to use a larger family of cutting planes. A polyhedron L ⊆ R is said to be lattice-free if L does not contain points of Z×R in its relative interior. An integral lattice-free cut for K is a linear inequality valid for conv(K \ rel.int(L)), where L is...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2009
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1080.0535