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Two-stage stochastic integer programming: A brief introduction
 

Summary: Two-stage stochastic integer programming:
A brief introduction
Shabbir Ahmed
Abstract
Stochastic integer programming problems combine the difficulty of stochastic pro-
gramming with integer programming. In this article, we briefly review some of the
challenges in solving two-stage stochastic integer programming problems, and discuss
the research progress towards these challenges.
1 Introduction
A standard form for a two-stage stochastic integer program (SIP) is as follows:
min
x
c x + EP [Q(x, )]
s.t. Ax = b,
x Rn1-p1
+ Zp1
+
(1)
where
Q(x, ) := min

  

Source: Ahmed, Shabbir - School of Industrial and Systems Engineering, Georgia Institute of Technology

 

Collections: Engineering