Dual decomposition in stochastic integer programming

被引：357

作者：

Caroe, CC

Schultz, R

机构：

[1] Univ Duisburg Gesamthsch, Dept Math, D-47048 Duisburg, Germany

[2] Univ Copenhagen, Inst Math, DK-2100 Copenhagen, Denmark

来源：

OPERATIONS RESEARCH LETTERS | 1999年 / 24卷 / 1-2期

关键词：

stochastic programming; mixed-integer programming; Lagrangian relaxation; branch and bound;

D O I：

10.1016/S0167-6377(98)00050-9

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：

We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and Lagrangian 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. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：37 / 45

页数：9

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