Abstract. We consider the Steiner tree problem under a 2-stage stochastic model with recourse and finitely many scenarios (SSTP). Thereby, edges are purchased in the first stage wh...
This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting plane...
We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...
Stochastic programming problems appear as mathematical models for optimization problems under stochastic uncertainty. Most computational approaches for solving such models are base...
We propose a generic method for obtaining quickly good upper bounds on the minimal value of a multistage stochastic program. The method is based on the simulation of a feasible dec...