A note on constraint aggregation and value functions for two-stage stochastic integer programs

DOI10.1016/J.DISOPT.2014.11.003MaRDI QIDQ2339848zbMATH OpenOpenAlexFDO

Authors Andrew C. Trapp, Oleg A. Prokopyev

Publication date 9 April 2015

Published in Discrete Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.disopt.2014.11.003

zbMATH Keywords

stochastic programmingvalue functionbranch-and-boundconstraint aggregation

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Stochastic programming (90C15) Integer programming (90C10)

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• Two-stage quadratic integer programs with stochastic right-hand sides
• Solving stochastic and bilevel mixed-integer programs via a generalized value function
• Two-stage integer programs with stochastic right-hand sides: A superadditive dual approach
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• On a level-set characterization of the value function of an integer program and its application to stochastic programming

Cites work

• scientific article; zbMATH DE number 193411 (Why is no real title available?)
• A finite branch-and-bound algorithm for two-stage stochastic integer programs
• Decomposition of test sets in stochastic integer programming
• Dual decomposition in stochastic integer programming
• L-shaped decomposition of two-stage stochastic programs with integer recourse
• On a level-set characterization of the value function of an integer program and its application to stochastic programming
• On structure and stability in stochastic programs with random technology matrix and complete integer recourse
• Surrogate Constraint Duality in Mathematical Programming
• The Theory and Computation of Knapsack Functions
• Two-stage integer programs with stochastic right-hand sides: A superadditive dual approach
• Two-stage quadratic integer programs with stochastic right-hand sides

Cited in

(7)

• On exact solution approaches for bilevel quadratic 0-1 knapsack problem
• Solving stochastic and bilevel mixed-integer programs via a generalized value function
• Solving the patient admission scheduling problem using constraint aggregation
• Two-stage quadratic integer programs with stochastic right-hand sides
• On the relationship between the value function and the efficient frontier of a mixed integer linear optimization problem
• A Gilmore-Gomory construction of integer programming value functions
• Solving a class of two-stage stochastic nonlinear integer programs using value functions

Describes a project that uses

Uses Software

• CPLEX

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