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    Dual Decomposition in Stochastic Integer Programming (1996)
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    Publication Date: 2014-02-26
    Description: 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.
    Keywords: ddc:000
    Language: English
    Type: reportzib , doc-type:preprint
    Format: application/postscript
    Format: application/pdf
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