Home

About

Advanced Search

Browse by Discipline

Scientific Societies

E-print Alerts

Add E-prints

E-print Network
FAQHELPSITE MAPCONTACT US


  Advanced Search  

 
A finite branch-and-bound algorithm for two-stage stochastic integer programs
 

Summary: A finite branch-and-bound algorithm for
two-stage stochastic integer programs
Shabbir Ahmed a
, Mohit Tawarmalani b
, Nikolaos V. Sahinidis c
a
School of Industrial & Systems Engineering, Georgia Institute of Technology,
765 Ferst Drive, Atlanta, GA 30332
b
Krannert School of Management, Purdue University,
West Lafayette IN 47907
c
Department of Chemical and Biomolecular Engineering, University of Illinois,
600 South Mathews Avenue, Urbana, IL 61801
June 16, 2000; Revised June 10, 2002, March 31, 2003
Abstract
This paper addresses a general class of two-stage stochastic programs
with integer recourse and discrete distributions. We exploit the structure
of the value function of the second-stage integer problem to develop a
novel global optimization algorithm. The proposed scheme departs from

  

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

 

Collections: Engineering