|
|
Title
Stochastic programming with simple integer recourse
Abstract
Stochastic integer programs are notoriously difficult. Very few
properties are known and solution algorithms are very scarce. In this
paper, we introduce the class of stochastic programs with simple integer
recourse, a natural extension of the simple recourse case extensively
studied in stochastic continuous programs. Analytical as well as
computational properties of the expected recourse function of simple
integer recourse problems are studied. This includes sharp bounds on
this function and the study of the convex hull. Finally, a finite
termination algorithm is obtained that solves two classes of stochastic
simple integer recourse problems.
Adobe PDF file (200K)
|