Stochastic Integer Programs

Abstract

As seen in Section 3.3, properties of stochastic integer programs are scarce. The absence of general efficient methods reflects this difficulty. Several techniques have been proposed in the recent years. As in deterministic integer programs, many of them are based on either a branching scheme or a reformulation scheme. The reader unfamiliar with either concept will find a brief introduction in the Short Reviews, Section 7.8 of this chapter. Section 7.1 recalls the links with the continuous case. Sections 7.2 and 7.3 consider two solution procedures that use a branching scheme. Section 7.4 considers the use of reformulation of the second-stage constraints by disjunctive cuts. Sections 7.5 to 7.7 consider simple integer recourse, feasibility cuts and the decomposition of the extensive form. Approximations can also be used, as indicated at the end of Section 9.5. Note also that Sections 7.2 to 7.7 can be read independently of each other.