THE INTEGER L-SHAPED METHOD FOR STOCHASTIC INTEGER PROGRAMS WITH COMPLETE RECOURSE

被引：483

作者：

LAPORTE, G ^{[1
]}

LOUVEAUX, FV ^{[1
]}

机构：

[1] FAC UNIV NOTRE DAME PAIX, FAC SCI ECON & SOCIALES, B-5000 NAMUR, BELGIUM

来源：

OPERATIONS RESEARCH LETTERS | 1993年 / 13卷 / 03期

关键词：

STOCHASTIC INTEGER PROGRAMMING; L-SHAPED METHOD; BRANCH-AND-CUT;

D O I：

10.1016/0167-6377(93)90002-X

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, a general branch-and-cut procedure for stochastic integer programs with complete recourse and first stage binary variables is presented. It is shown to provide a finite exact algorithm for a number of stochastic integer programs, even in the presence of binary variables or continuous random variables in the second stage.

引用

页码：133 / 142

页数：10

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