On Generating Lagrangian Cuts for Two-stage Stochastic Integer Programs

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