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Shabbir Ahmed, Department of Mechanical and Industrial Engineering, University of Illinois|
Mohit Tawarmalani, Department of Mechanical and Industrial Engineering, University of Illinois
Nikolas V. Sahinidis, Department of Chemical Engineering, University of Illinois
|Title:||A finite branch and bound algorithm for two-stage stochastic integer programs|
|Date of Acceptance:||04.07.2000|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10057692)|
|Keywords (eng):||stochastic integer programming, branch and bound, finite al-gorithms|
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|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 those in the current literature in that it avoids explicit enumeration of the search space while guaranteeing finite termination. Our computational results indicate superior performance of the proposed algorithm in comparison to the existing literature.|
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