Computations with disjunctive cuts for two-stage stochastic mixed 0-1 integer programs

@article{Ntaimo2008ComputationsWD,
  title={Computations with disjunctive cuts for two-stage stochastic mixed 0-1 integer programs},
  author={Lewis Ntaimo and Matthew W. Tanner},
  journal={Journal of Global Optimization},
  year={2008},
  volume={41},
  pages={365-384}
}
Two-stage stochastic mixed-integer programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a first computational study of a disjunctive cutting plane method for stochastic mixed 0-1 programs that uses lift-and-project cuts based on the extensive form of the two-stage SMIP problem. An extension of the method based on where the data uncertainty appears in the problem is made, and it is shown how a valid inequality derived for one scenario can be made valid… 
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