Niels van der Laan

A converging Benders’ decomposition algorithm for two-stage mixed-integer recourse models

  • Ward Romeijnders
  • Niels van der Laan
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , ,

    We propose a new solution method for two-stage mixed-integer recourse models. In contrast to existing approaches, we can handle general mixed-integer variables in both stages, and thus, e.g., do not require that the first-stage variables are binary. Our solution method is a Benders’ decomposition, in which we iteratively construct tighter approximations of the expected second-stage … Read more

    Inexact cutting planes for two-stage mixed-integer stochastic programs

  • Ward Romeijnders
  • Niels van der Laan
    • Categories Cutting Plane Approaches, Stochastic Programming Tags , , ,

    We propose a novel way of applying cutting plane techniques to two-stage mixed-integer stochastic programs. Instead of using cutting planes that are always valid, our idea is to apply inexact cutting planes to the second-stage feasible regions that may cut away feasible integer second-stage solutions for some scenarios and may be overly conservative for others. … Read more