Cutting planes for multi-stage stochastic integer programs

Yongpei Guan; Shabbir Ahmed; George L. Nemhauser

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SPEPS Preprint

Author(s):	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
Submission Date:	15.09.2006
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10071635)
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Abstract (eng):

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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