On Generating Lagrangian Cuts for Two-Stage Stochastic Integer Programs
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DOI: 10.1287/ijoc.2022.1185
Abstract: We investigate new methods for generating Lagrangian cuts to solve two-stage stochastic integer programs. Lagrangian cuts can be added to a Benders reformulation and are derived from solving single scenario integer programming subproblems identical to… read more here.
Keywords: stage stochastic; lagrangian cuts; stochastic integer; generating lagrangian ... See more keywords