Dual Decomposition in Stochastic Integer Programming
Please always quote using this URN: urn:nbn:de:0297-zib-2560
- 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. %We outline a branch-and-bound algorithm for obtaining primal feasible and %possibly optimal solutions. Numerical experience is presented for some two-stage test problems.
Author: | Claus C. Caröe, Rüdiger Schultz |
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Document Type: | ZIB-Report |
Date of first Publication: | 1996/12/02 |
Series (Serial Number): | ZIB-Report (SC-96-46) |
ZIB-Reportnumber: | SC-96-46 |
Published in: | Appeared in: Operations Research Letters 24 (1999) 37-45 |