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Cutting Planes for Multistage Stochastic Integer Programs

Yongpei Guan, Shabbir Ahmed and George L. Nemhauser
Operations Research
Vol. 57, No. 2 (Mar. - Apr., 2009), pp. 287-298
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/25614752
Page Count: 12
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Cutting Planes for Multistage Stochastic Integer Programs
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Abstract

This paper addresses the problem of finding cutting planes for multistage stochastic integer programs. We give a general method for generating cutting planes for multistage 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 for 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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