Two‐Stage Stochastic Integer Programming: A Brief Introduction

Shabbir Ahmed

60 citations0/0 files storedWiley Encyclopedia of Operations Research and Management Science

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Abstract

Abstract Stochastic integer programming problems combine the difficulty of stochastic programming with integer programming. In this article, we briefly review some of the challenges in solving two‐stage stochastic integer programming problems, and discuss the research progress toward these challenges.

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2011Introduction to Stochastic Programming 2010Stochastic Programming 2002The Sample Average Approximation Method for Stochastic Discrete Optimization 1995Stochastic Programming 1993The integer L-shaped method for stochastic integer programs with complete recourse 1999Dual decomposition in stochastic integer programming 2004A finite branch-and-bound algorithm for two-stage stochastic integer programs 1999Stochastic integer programming:General models and algorithms

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