two-stage stochastic mixed integer program

Tight second-stage formulations in two-stage stochastic mixed integer programs

Published: 2015/09/23, Updated: 2018/05/10

Cutting Plane Approaches, Production and Logistics, Stochastic Programming capacitated lot-sizing with backlogging, continuous mixing, convex hull, cutting planes, discrete lot-sizing, tight formulations, two-stage stochastic mixed integer program

We study two-stage stochastic mixed integer programs (TSS-MIPs) with integer variables in the second stage. We show that under suitable conditions, the second stage MIPs can be convexified by adding parametric cuts a priori. As special cases, we extend the results of Miller and Wolsey (Math Program 98(1):73-88, 2003) to TSS-MIPs. Furthermore, we consider second … Read more