On Bridging the Gap Between Stochastic Integer Programming and MIP Solver Technologies

References

• Ahmed S., Garcia R. Dynamic capacity acquisition and assignment under uncertainty. (2002) . Technical Report, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GAGoogle Scholar
• Ahmed S., Parija G. R., King A. J.J. Global Optim. (2002a) . ForthcomingGoogle Scholar
• Ahmed S., Tawarmalani M., Sahinidis N. V. A finite branch-and-bound algorithm for two-stage stochastic integer programs. Stochastic Programming E-Print Series (2000) . http://dochost.rz.hu-berlin.de/speps/Google Scholar
• Barahona F., Bermon S., Günlü O., Hood S. Robust capacity planning in semiconductor manufacturing. Optimization Online eprint. (2001) . http://www.optimization-online.orgGoogle Scholar
• Barnhart C., Johnson E. L., Nemhauser G. L., Savelsbergh M. W. P., Vance P. H. Branch-and-price: column generation for solving huge integer programs. Oper. Res. (1998) 46:316–329Link, Google Scholar
• Bienstock D., Shapiro J. F. Optimizing resource acquisition decisions by stochastic programming. Management Sci. (1988) 34:215–229Link, Google Scholar
• Birge J. R. Decomposition and partitioning methods for multistage stochastic linear programs. Oper. Res. (1985) 33:989–1007Link, Google Scholar
• Birge J. R., Dempster M. A. H. Stochastic programming approaches to stochastic scheduling. J. Global Optim. (1996) 9:417–451Crossref, Google Scholar
• Birge J. R., Donohue C. J., Holmes D. F., Svintsitski O. G. A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs. Math. Programming (1996) 75:327–352Crossref, Google Scholar
• Bitran G. R., Haas E. A., Matsuo H. Production planning of style goods with high setup costs and forecast revisions. Oper. Res. (1986) 34:226–236Link, Google Scholar
• Birge J. R., Louveaux F.Introduction to Stochastic Programming (1997) (Springer, New York) Google Scholar
• Carøe C. C., Schultz R. Dual decomposition in stochastic integer programming. Oper. Res. Lett. (1999) 24:37–45Crossref, Google Scholar
• Carøe C. C., Ruszczyński A., Schultz R., Carøe C. C., Pisinger D. Unit commitment under uncertainty via two-stage stochastic programming. Proc. of NOAS 97 (1997) 21–30Department of Computer Science, University of Copenhagen, Copenhagen, DenmarkGoogle Scholar
• Carøe C. C., Tind J. L-shaped decomposition of two-stage stochastic programs with integer recourse. Math. Programming (1998) 83:451–464Crossref, Google Scholar
• Dash AssociatesXPRESS-MP: Extended Modeling and Optimisation Subroutine Library (1999) (Leamington Spa, Warwickshire, UK) . Release 11Google Scholar
• Dempster M. A. H., Dempster M. A. H., Lenstra J. K., Rinnooy Kan A. H. G. A stochastic approach to hierarchical planning and scheduling. Deterministic and Stochastic Scheduling (1982) (D. Riedel Publishing Co., Dordrecht, The Netherlands) 271–296Crossref, Google Scholar
• Dempster M. A. H., Fisher M. L., Jansen L., Lageweg B. J., Lenstra J. K., Rinnooy Kan A. H. G. R. Analytical evaluation of hierarchical planning systems. Oper. Res. (1981) 29:707–716Link, Google Scholar
• Dert C. L. Asset liability management for pension funds: A multistage chance constrained programming approach. (1995) . Ph.D. thesis, Erasmus University, Rotterdam, The NetherlandsGoogle Scholar
• Dongarra J. J. Performance of various computers using standard linear equations software. (2002) . Technical Report, Department of Computer Science, University of Tennessee, Knoxville, TN. http://www.netlib.org/benchmark/performance.psGoogle Scholar
• Gassmann H. MSLIP: A computer code for the multistage stochastic linear programming problem. Math. Programming (1990) 47:407–423Crossref, Google Scholar
• Higle J. L., Sen S.Stochastic Decomposition: A Statistical Method for Large Scale Stochastic Linear Programming (1996) (Kluwer Academic Publishers, Dordrecht, The Netherlands) Crossref, Google Scholar
• IBM CorporationOptimization Subroutine Library Guide and Reference. Release 2. (1991) . International Business Machines Corporation, Kingston, NYGoogle Scholar
• IBM CorporationOptimization Library Stochastic Extensions Guide and Reference (1998) . http://service2.boulder.ibm.com/es/oslv2/features/StochExt/stochexu.htmGoogle Scholar
• ILOG, Inc.CPLEX 6.0 User's Manual (1997) (ILOG, Incline Village, NV)Google Scholar
• Jorjani S., Scott C. H., Woodruff D. L. Selection of an optimal subset of sizes. Internat. J. Production Res. (1999) 37:3697–3710Crossref, Google Scholar
• Kall P., Wallace S. W.Stochastic Programming (1994) (John Wiley and Sons, Chichester, U.K) Google Scholar
• King A. J., Wright S. E. A flexible-partition, nested L-shaped method for linear programming. (2001) . Working paper, IBM T. J. Watson Research Center, Yorktown Heights, NYGoogle Scholar
• Laporte G., Louveaux F. V. The integer L-shaped method for stochastic integer programs with complete recourse. Oper. Res. Lett. (1993) 13:133–142Crossref, Google Scholar
• Laporte G., Louveaux F. V., Mercure H. Models and exact solutions for a class of stochastic location-routing problems. Eur. J. Oper. Res. (1989) 39:71–78Crossref, Google Scholar
• Laporte G., Louveaux F. V., Mercure H. The vehicle routing problem with stochastic travel times. Transportation Sci. (1992) 26:161–170Link, Google Scholar
• Laporte G., Louveaux F. V., van Hamme L. Exact solution of a stochastic location problem by an integer L-shaped algorithm. Transportation Sci. (1994) 28:95–103Link, Google Scholar
• Lenstra J. K., Rinnooy Kan A. H. G., Stougie L. A framework for the probabilistic analysis of hierarchical planning systems. (1983) . Technical report, Mathematisch Centrum, University of Amsterdam, Amsterdam, The NetherlandsGoogle Scholar
• Norkin V. I., Ermoliev Y. M., Ruszczyńnski A. On optimal allocation of indivisibles under uncertainty. Oper. Res. (1998) 46:381–395Link, Google Scholar
• Rockafellar R. T., Wets R. J-B. Scenarios and policy aggregation in optimization under uncertainty. Math. Oper. Res. (1991) 16:119–147Link, Google Scholar
• Ruszczyńnski A. A regularized decomposition method for minimizing a sum of polyhedral functions. Math. Programming (1986) 35:309–333Crossref, Google Scholar
• Schultz R., Stougie L., van der Vlerk M. H. Two-stage stochastic integer programming: A survey. Statistica Neerlandica (1996) 50:404–416Crossref, Google Scholar
• Spaccamela A. M., Rinnooy Kan A. H. G., Stougie L. Hierarchical vehicle routing problems. Networks (1984) 14:571–586Crossref, Google Scholar
• Stougie L., van der Vlerk M. H., Dell'Amico M., Maffioli F., Martello S. Stochastic integer programming. Annotated Bibliographies in Combinatorial Optimization (1997) (John Wiley & Sons, New York) 127–141Google Scholar
• Takriti S., Birge J. R., Long E. A stochastic model of the unit commitment problem. IEEE Trans. Power Systems (1996) 11:1497–1508Crossref, Google Scholar
• Tayur S. R., Thomas R. R., Natraj N. R. An algebraic geometry algorithm for scheduling in the presence of setups and correlated demands. Math. Programming (1995) 69:369–401Crossref, Google Scholar
• van der Vlerk M. H. Stochastic programming with integer recourse. (1995) . Ph.D. thesis, Department of Econometrics, University of Groningen, Groningen. The NetherlandsGoogle Scholar
• Van Slyke R., Wets R. J-B. L-Shaped linear programs with applications to optimal control and stochastic programming. SIAM J. Appl. Math. (1969) 17:638–663Crossref, Google Scholar