Duality gaps in stochastic integer programming

被引：3

作者：

Sen, S ^{[1
]}

Higle, JL

Birge, JR

机构：

[1] Univ Arizona, Dept Syst & Ind Engn, Tucson, AZ 85721 USA

[2] Northwestern Univ, Dept Ind Engn & Management Sci, Robert R McCormick Sch Engn & Appl Sci, Evanston, IL 60208 USA

来源：

JOURNAL OF GLOBAL OPTIMIZATION | 2000年 / 18卷 / 02期

关键词：

Integer Program; Real Function; Mixed Integer; Lagrangian Relaxation; Stochastic Integer Program;

D O I：

10.1023/A:1008314824754

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 note, we explore the implications of a result that suggests that the duality gap caused by a Lagrangian relaxation of the nonanticipativity constraints in a stochastic mixed integer (binary) program diminishes as the number of scenarios increases. By way of an example, we illustrate that this is not the case. In general, the duality gap remains bounded away from zero.

引用

页码：189 / 194

页数：6

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