Disjunctive Decomposition for Two-Stage Stochastic Mixed-Binary Programs with Random Recourse

Lewis Ntaimo ()
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Lewis Ntaimo: Department of Industrial and Systems Engineering, Texas A&M University, College Station, Texas 77843

Operations Research, 2010, vol. 58, issue 1, 229-243

Abstract: This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting planes based on disjunctive programming to be generated for each scenario subproblem under a temporal decomposition setting of the SIP problem. A new class of valid inequalities for mixed 0-1 SIP with random recourse is presented. In particular, we derive valid inequalities that allow for scenario subproblems for SIP with random recourse but deterministic technology matrix and right-hand side vector to share cut coefficients. The valid inequalities are used to derive a disjunctive decomposition method whose derivation has been motivated by real-life stochastic server location problems with random recourse, which find many applications in operations research. Computational results with large-scale instances to demonstrate the potential of the method are reported.

Keywords: stochastic programming; integer programming; disjunctive programming (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:58:y:2010:i:1:p:229-243

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