Dual decomposition in stochastic integer programming

Authors:
Claus C. CarøE;RüDiger Schultz
Affiliations:
University of Copenhagen, Institute of Mathematics, Universitetsparken 5, DK-2100 Copenhagen, Denmark;Department of Mathematics, Gerhard-Mercator University Duisburg, Lotharstr. 65, D-47048 Duisburg, Germany
Venue:
Operations Research Letters
Year:
1999

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Abstract

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. Numerical experience is presented for some two-stage test problems.