|edoc-Server der Humboldt-Universität zu Berlin|
Yongpei Guan, University of Oklahoma|
Shabbir Ahmed, Georgia Institute of Technology
George L. Nemhauser, Georgia Institute of Technology
|Title:||Cutting planes for multi-stage stochastic integer programs|
|Date of Acceptance:||21.11.2006|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10071635)|
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|This paper addresses the problem of finding cutting planes for multi-stage stochastic integer programs. We give a general method for generating cutting planes for multi-stage stochastic integer programs based on combining inequalities that are valid for the individual scenarios. We apply the method to generate cuts for a stochastic version of a dynamic knapsack problem and to stochastic lot sizing problems. We give computational results which show that these new inequalities are very effective in a branch-and-cut algorithm.|
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