Finitely Convergent Decomposition Algorithms for Two-Stage Stochastic Pure Integer Programs

@article{Zhang2014FinitelyCD,
  title={Finitely Convergent Decomposition Algorithms for Two-Stage Stochastic Pure Integer Programs},
  author={Minjiao Zhang and Simge K{\"u}ç{\"u}kyavuz},
  journal={SIAM J. Optim.},
  year={2014},
  volume={24},
  pages={1933-1951}
}
We study a class of two-stage stochastic integer programs with general integer variables in both stages and finitely many realizations of the uncertain parameters. Based on Benders' method, we propose a decomposition algorithm that utilizes Gomory cuts in both stages. The Gomory cuts for the second-stage scenario subproblems are parameterized by the first-stage decision variables, i.e., they are valid for any feasible first-stage solutions. In addition, we propose an alternative implementation… 

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