A note on constraint aggregation and value functions for two-stage stochastic integer programs

作者：Trapp Andrew C; Prokopyev Oleg A^*

来源：Discrete Optimization, 2015, 15: 37-45.

DOI：10.1016/j.disopt.2014.11.003

• Stochastic programming
• Value function
• Constraint aggregation
• Branch-and-bound

We consider a class of two-stage stochastic integer programs and their equivalent reformulation that uses the integer programming value functions in both stages. One class of solution methods in the literature is based on the idea of pre-computing and storing exact value functions, and then exploiting this information within a global branch-and-bound framework. Such methods are known to be very sensitive to the magnitude of feasible righ-\thand side values. In this note we propose a simple constraint-aggregation based approach that potentially alleviates this limitation.

• 出版日期2015-2