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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.

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Metadaten
Author:Claus C. Caröe, Rüdiger Schultz
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
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