Dual decomposition in stochastic integer programming

被引：345
|
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
收藏
页码：37 / 45
页数：9
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