Stochastic Integer Programming

Schultz, Rüdiger LSF; Louveaux, Francois V.

When introducing integer variables into traditional linear stochastic programs structural properties and algorithmic approaches have to be rethought from the very beginning. Employing basics from parametric integer programming and probability theory we analyse the structure of stochastic integer programs. In the algorithmic part of the paper we review solution techniques from integer programming and discuss their impact on the specialized structures met in stochastic programming.

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Schultz, Rüdiger / Louveaux, Francois V.: Stochastic Integer Programming. 2012.

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