Decomposition Methods for Two-Stage Stochastic Integer Programs

Raymond Hemmecke and Rüdiger Schultz
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Raymond Hemmecke: Gerhard-Mercator-Universität Duisburg, Fachbereich Mathematik
Rüdiger Schultz: Gerhard-Mercator-Universität Duisburg, Fachbereich Mathematik

A chapter in Online Optimization of Large Scale Systems, 2001, pp 601-622 from Springer

Abstract: Abstract Stochastic programs are proper tools for real-time optimization if real-time features arise due to lack of data information at the moment of decision. The paper’s focus is at two-stage linear stochastic programs involving integer requirements. After a discussion of basic structural properties, two decomposition approaches are developed. While the first approach is directed to decomposition of the stochastic program itself, the second deals with decomposition of the related Graver test set.

Keywords: Stochastic Program; Master Problem; Monomial Ideal; Unit Commitment; Stochastic Integer Program (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-662-04331-8_30

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DOI: 10.1007/978-3-662-04331-8_30

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