2013-09-17Buch
Ancestral Benders' Cuts and Multi-term Disjunctions for Mixed-Integer Recourse Decisions in Stochastic Programming
Qi, Yunwei; Sen, Suvrajeet
This paper focuses on solving two-stage stochastic mixed integer programs (SMIPs) with general mixed integer decision variables in both stages. We develop a decomposition algorithm in which the first stage approximation ...