Online Resource
Berlin : Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
Format:
1 Online-Ressource (23 Seiten)
Series Statement:
Stochastic Programming E-Print Series 2006,2006,18
Content:
This paper addresses the problem of finding cutting planes for multi-stage stochastic integer programs.We give a general method for generating cutting planes for multi-stage stochastic integer programs basedon combining inequalities that are valid for the individual scenarios. We apply the method to generatecuts for a stochastic version of a dynamic knapsack problem and to stochastic lot sizing problems. Wegive computational results which show that these new inequalities are very effective in a branch-and-cutalgorithm.
Language:
English
URN:
urn:nbn:de:kobv:11-10071635
URL:
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