A heuristic procedure for stochastic integer programs with complete recourse.
Guglielmo LulliSuvrajeet SenPublished in: Eur. J. Oper. Res. (2006)
Keyphrases
- integer program
- linear program
- linear programming relaxation
- mixed integer program
- column generation
- set covering
- stochastic programming
- multistage stochastic
- integer programming
- stage stochastic programs
- optimal solution
- search procedure
- lp relaxation
- cutting plane
- network flow
- linear programming
- dynamic programming
- objective function
- lagrangian relaxation
- valid inequalities
- multistage
- mixed integer programming
- stochastic optimization problems
- monte carlo
- simulated annealing
- search algorithm
- combinatorial optimization
- feasible solution