A Summary and Illustration of Disjunctive Decomposition with Set Convexification
نویسندگان
چکیده
In this paper we review the Disjunctive Decomposition (D) algorithm for two-stage Stochastic Mixed Integer Programs (SMIP). This novel method uses the principles of disjunctive programming to develop cuttingplane-based approximations of the feasible set of the second stage problem. At the core of this approach is the Common Cut Coefficient Theorem, which provides a mechanism for transforming cuts derived for one outcome of the second stage problem into cuts that are valid for other outcomes. An illustrative application of the D method to the solution of a small SMIP illustrative example is provided.
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