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Two-stage stochastic integer programming: a survey |
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| Authors: | R Schultz L Stougie M H van der Vlerk |
| Institution: | Konrad-Zuse -Zentrum für Informationstechnik Berlin, Heilbronnerstrasse 10, 10711 Berlin, Germany;Department of Actuarial Studies, Econometrics and Operations Research, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam. The Netherlands;CORE, UniversitéCatholique de Louvain, 34 Voie du Roman Pays, 1348 Louvain-la-Neuve, Belgium |
| Abstract: | Stochastic integer programming is more complicated than stochastic linear programming, as will be explained for the case of the two-stage stochastic programming model. A survey of the results accomplished in this recent field of research is given. |
| Keywords: | stochastic programming complete integer recourse simple integer recourse approximations structural properties probabilistic error analysis |