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TitleSolving stochastic programs with complete integer recourse: a framework using Gröbner basis reduction
Author(s) Rüdiger Schultz, Leen Stougie, Maarten H. van der Vlerk
TypeTechnical Report, Misc
AbstractIn 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.
LanguageEnglish
Number9562
AddressLouvain-la-Neuve, Belgium
Year1995
Edition0
Translation No
Refereed No
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