lagrangian cuts

A computational study of cutting-plane methods for multi-stage stochastic integer programs

  • Akul Bansal
  • Simge Küçükyavuz
    • Categories Stochastic Programming Tags , ,

    We report a computational study of cutting plane algorithms for multi-stage stochastic mixed-integer programming models with the following cuts: (i) Benders’, (ii) Integer L-shaped, and (iii) Lagrangian cuts. We first show that Integer L-shaped cuts correspond to one of the optimal solutions of the Lagrangian dual problem, and, therefore, belong to the class of Lagrangian … Read more

    On Generating Lagrangian Cuts for Two-stage Stochastic Integer Programs

  • Rui Chen
  • James R. Luedtke
    • Categories (Mixed) Integer Linear Programming, Stochastic Programming Tags , ,

    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 those used in the nonanticipative Lagrangian dual of a stochastic integer program. While Lagrangian cuts have the potential to significantly … Read more