A finite branch and bound algorithm for two-stage stochastic integer programs
dc.contributor.author | Ahmed, Shabbir | |
dc.contributor.author | Tawarmalani, Mohit | |
dc.contributor.author | Sahinidis, Nikolas V. | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:39:28Z | |
dc.date.available | 2017-06-16T19:39:28Z | |
dc.date.created | 2006-02-09 | |
dc.date.issued | 2000-07-04 | |
dc.date.submitted | 2000-06-19 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8892 | |
dc.description.abstract | This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second stage integer problem to develop a novel global optimization algorithm. The proposed scheme departs from those in the current literature in that it avoids explicit enumeration of the search space while guaranteeing finite termination. Our computational results indicate superior performance of the proposed algorithm in comparison to the existing literature. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | stochastic integer programming | eng |
dc.subject | branch and bound | eng |
dc.subject | finite al-gorithms | eng |
dc.subject.ddc | 510 Mathematik | |
dc.title | A finite branch and bound algorithm for two-stage stochastic integer programs | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10057692 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8240 | |
local.edoc.pages | 30 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2000,16 |