1. Books and Surveys 2. Theory 2.1 Structural properties of the EVF 2.2 Complexity related results 3. General Purpose Algorithms 3.1 Benders’ decomposition methods 3.2 Gröbner basis methods 3.3 Convex approximations of SIR models 3.4 Other methods 4. Solution of Specific Problems 4.1 Production planning and scheduling problems 4.2 Network and routing problems 4.3 Location problems 4.4 Other pro...

We consider power system expansion planning under uncertainty. In our approach, integer programming and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. By utilizing the special property of the problem, called block separable recourse, the problem is transformed into a two-stag...

Stochastic integer programs are notoriously difficult. Very few properties are known and solution algorithms are very scarce. In this paper, we introduce the class of stochastic programs with simple integer recourse, a natural extension of the simple recourse case extensively studied in stochastic continuous programs. Analytical as well as computational properties of the expected recourse funct...

Abstract In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, convex optimization with non-Lipschitzian value functions and linear optimization. We develop dual dynamic programming (SDDP) type algorithms nested decomposition, deterministic sampling, sampling. The key ingredient is a new...