Dual decomposition in stochastic integer programming
نویسندگان
چکیده
We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and La-grangian relaxation. The approach can be applied to multi-stage problems with mixed-integer variables in each time stage. Numerical experience is presented for some two-stage test problems.
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ورودعنوان ژورنال:
- Oper. Res. Lett.
دوره 24 شماره
صفحات -
تاریخ انتشار 1999