A Hierarchy of Bounds for Stochastic Mixed-Integer Programs

Strong relaxations are critical for solving deterministic mixed-integer programs. As solving stochastic mixed-integer programs (SMIPs) is even harder, it is likely that strong relaxations will also prove essential for SMIPs. We consider general two-stage SMIPs with recourse, where integer variables are allowed in both stages of the problem and randomness is allowed in the objective … Read more