Home | Quick Search | Advanced Search | Bibliography submission | Bibliography submission using bibtex | Bibliography submission using bibtex file | Links | Help | Internal


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.
AddressLouvain-la-Neuve, Belgium
Translation No
Refereed No