You are not currently logged in.
Access JSTOR through your library or other institution:
Cutting Planes for Multistage Stochastic Integer Programs
Yongpei Guan, Shabbir Ahmed and George L. Nemhauser
Vol. 57, No. 2 (Mar. - Apr., 2009), pp. 287-298
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/25614752
Page Count: 12
You can always find the topics here!Topics: Integers, Algorithms, Operations research, Plant roots, Mathematical inequalities, Stochastic models, Carrying costs, Mathematical problems, Integer programming, Variable coefficients
Were these topics helpful?See something inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
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.
Operations Research © 2009 INFORMS