Improving the Integer L-Shaped Method

Published Online:https://doi.org/10.1287/ijoc.2016.0695

References

  • Ahmed S, Garcia R, Kong N, Ntaimo L, Parija G, Qiu F, Sen S (2015) SIPLIB: A stochastic integer programming test problem library. Accessed July 2015, http://www.isye.gatech.edu/~sahmed/siplib.Google Scholar
  • Albareda-Sambola M, van der Vlerk MH, Fernández E (2006) Exact solutions to a class of stochastic generalized assignment problems. Eur. J. Oper. Res. 173(2):465–487.CrossrefGoogle Scholar
  • Angulo G, Ahmed S, Dey SS, Kaibel V (2015) Forbidden vertices. Math. Oper. Res. 40(2):350–360.LinkGoogle Scholar
  • Balas E (1979) Disjunctive programming. Johnson EL, Hammer PL, Korte BH, eds. Discrete Optimization II, Annals of Discrete Mathematics, Vol. 5 (North-Holland, Amsterdam), 3–51.CrossrefGoogle Scholar
  • Benders JF (1962) Partitioning procedures for solving mixed-variables programming problems. Numerische Mathematik 4(1):238–252.CrossrefGoogle Scholar
  • Gade D, Küçükyavuz S, Sen S (2014) Decomposition algorithms with parametric Gomory cuts for two-stage stochastic integer programs. Math. Programming, Ser. A 144(1):39–64.CrossrefGoogle Scholar
  • Gendreau M, Laporte G, Séguin R (1995) An exact algorithm for the vehicle routing problem with stochastic demands and customers. Transportation Sci. 29(2):143–155.LinkGoogle Scholar
  • Küçükyavuz S, Zhang M (2014) Finitely convergent decomposition algorithms for two-stage stochastic pure integer programs. SIAM J. Optim. 24(4):1933–1951.CrossrefGoogle Scholar
  • Laporte G, Louveaux FV (1993) The integer L-shaped method for stochastic integer programs with complete recourse. Oper. Res. Lett. 13(3):133–142.CrossrefGoogle Scholar
  • Laporte G, Louveaux FV, Mercure H (1994a) A priori optimization of the probabilistic traveling salesman problem. Oper. Res. 42(3):543–549.LinkGoogle Scholar
  • Laporte G, Louveaux FV, van Hamme L (1994b) Exact solution to a location problem with stochastic demands. Transportation Sci. 28(2):95–103.LinkGoogle Scholar
  • Laporte G, Louveaux FV, van Hamme L (2002) An integer L-shaped algorithm for the capacitated vehicle routing problem with stochastic demands. Oper. Res. 50(3):415–423.LinkGoogle Scholar
  • Ntaimo L (2014) Stochastic mixed-integer programming test problems. Accessed July 2015, http://ise.tamu.edu/people/faculty/ntaimo/personal_web/test_instances.htm.Google Scholar
  • Ntaimo L, Sen S (2005) The million-variable march for stochastic combinatorial optimization. J. Global Optim. 32(3):385–400.CrossrefGoogle Scholar
  • Ntaimo L, Tanner MW (2008) Computations with disjunctive cuts for two-stage stochastic mixed 0-1 integer programs. J. Global Optim. 41(3):365–384.CrossrefGoogle Scholar
  • Qi Y, Sen S (2016) The ancestral Benders’ cutting plane algorithm with multi-term disjunctions for mixed-integer recourse decisions in stochastic programming. Math. Programming, ePub ahead of print April 23, http://dx.doi.org/10.1007/s10107-016-1006-6.Google Scholar
  • Sen S, Higle JL (2005) The C3 theorem and a D2 algorithm for large scale stochastic mixed-integer programming: Set convexification. Math. Programming, Ser. A 104(1):1–20.CrossrefGoogle Scholar
  • Van Slyke RM, Wets R (1969) L-shaped linear programs with applications to optimal control and stochastic programming. SIAM J. Appl. Math. 17(4):638–663.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.