Markov Chain-based Policies for Multi-stage Stochastic Integer Linear Programming with an Application to Disaster Relief Logistics

We introduce a novel aggregation framework to address multi-stage stochastic programs with mixed-integer state variables and continuous local variables (MSILPs). Our aggregation framework imposes additional structure to the integer state variables by leveraging the information of the underlying stochastic process, which is modeled as a Markov chain (MC). We present a novel branch-and-cut algorithm integrated … Read more