Solving Stochastic Programs with Complete Integer Recourse: a framework using Gröbner Bases
Please always quote using this URN: urn:nbn:de:0297-zib-1890
- In this paper we present a framework for solving stochastic programs with complete integer recourse and discretely distributed right-hand side vector, using Gröbner basis methods from computational algebra to solve the numerous second-stage integer programs. Using structural properties of the integer expected recourse function, we prove that under mild conditions an optimal solution is contained in a finite set. Furthermore, we present a basic scheme to enumerate this set and suggest possible improvements to economize on the number of function evaluations needed.
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| Author: | Rüdiger Schultz, Leen Stougie, Maarten H. van der Vlerk |
|---|---|
| Document Type: | ZIB-Report |
| Date of first Publication: | 1995/10/10 |
| Series (Serial Number): | ZIB-Report (SC-95-23) |
| ZIB-Reportnumber: | SC-95-23 |
| Published in: | Appeared under the title: Solving stochastic programs with integer recourse by enumeration: A framework using Gröbner basis reductions in: Mathematical Programming 83 (1998) 229-252 |
