Mathematical Programming

, Volume 100, Issue 2, pp 355–377 | Cite as

A finite branch-and-bound algorithm for two-stage stochastic integer programs

  • Shabbir Ahmed
  • Mohit Tawarmalani
  • Nikolaos V. Sahinidis
Article

Abstract.

This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second-stage integer problem to develop a novel global optimization algorithm. The proposed scheme departs from those in the current literature in that it avoids explicit enumeration of the search space while guaranteeing finite termination. Computational experiments on standard test problems indicate superior performance of the proposed algorithm in comparison to those in the existing literature.

Keywords

stochastic integer programming branch-and-bound finite algorithms 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Shabbir Ahmed
    • 1
  • Mohit Tawarmalani
    • 2
  • Nikolaos V. Sahinidis
    • 3
  1. 1.School of Industrial & Systems EngineeringGeorgia Institute of TechnologyAtlantaUSA
  2. 2.Krannert School of ManagementPurdue UniversityUSA
  3. 3.Department of Chemical and Biomolecular EngineeringUniversity of Illinois at Urbana-ChampaignUrbanaUSA

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