Two-stage stochastic mixed-integer programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a first computationalstudy of a disjunctive cutting plane method for stochastic mixed 0-1 ...

In this paper we address the following probabilistic version (PSC) of the set cover-ing problem: $ min{cx | P(Ax ≥ ξ) ≥ p, x_j \in {0, 1}N }$ where A is a 0-1 matrix, ξ is arandom 0-1 vector and $p \in (0, 1]$ is the ...

We propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at different confidence levels. ...

Mixed-integer two-stage stochastic programs with fixed recourse matrix, random recourse costs, technology matrix, and right-hand sides areconsidered. Quantitative continuity properties of its optimal value and solution set ...

We introduce stochastic integer programs with dominance constraints induced by mixed-integer linear recourse. Closedness of the constraint set mapping with respect to perturbations of the underlying probability measure is ...

Modeling several competitive leaders and followers acting in an electricity marketleads to coupled systems of mathematical programs with equilibrium constraints,called equilibrium problems with equilibrium constraints ...

We consider barrier problems associated with two and multistage stochastic convex optimization problems. We show that the barrier recourse functions at any stage form a self-concordant family with respect to the barrier ...

In this paper we address the following probabilistic version (PSC) of the set coveringproblem: $ min{cx | P(Ax ≥ ξ) ≥ p, x_j \in {0, 1} j \in N }$ where A is a 0-1 matrix, ξis a random 0-1 vector and $p \in (0, 1]$ is the ...

We propose a new class of stochastic integer programs whose special features are dominance constraints induced by mixed-integer linear recourse. For these models, we establish closedness of theconstraint set mapping with ...

We identify multistage stochastic integer programs with risk objectives where the related wait-and-see problems enjoy similar separability as in the risk neutral case. For models belonging to this classwe present a solution ...