Dual decomposition in stochastic integer programming

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Abstract

We present an algorithm for solving stochastic integer programming problems with recourse, based on a dual decomposition scheme and Lagrangian relaxation. The approach can be applied to multi-stage problems with mixed-integer variables in each time stage. Numerical experience is presented for some two-stage test problems.

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Carøe, C. C., & Schultz, R. (1999). Dual decomposition in stochastic integer programming. Operations Research Letters, 24(1), 37–45. https://doi.org/10.1016/S0167-6377(98)00050-9

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