|edoc-Server der Humboldt-Universität zu Berlin|
Nan Kong, University of Pittsburgh|
Andrew J. Schaefer, University of Pittsburgh
Brady Hunsaker, University of Pittsburgh
|Title:||Two-stage integer programs with stochastic right-hand sides – A superadditive dual approach|
|Date of Acceptance:||02.10.2004|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10059669)|
|Keywords (eng):||Stochastic Programming, Integer Programming, Superadditive Duality, Level Sets|
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|We consider two-stage pure integer programs with discretely distributed stochastic right-hand sides. We present an equivalent superadditive dual formulation that uses the value functions in both stages. We give two algorithms for finding the value functions. To solve the reformulation after obtaining the value functions, we develop a global branch-and-bound approach and a level-set approach to find an optimal tender. We show that our method can solve randomly generated instances that are several orders of magnitude larger than those found in the literature.|
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