Polyhedral Stochastic Integer Programming

ACO Student Seminar
Wednesday, September 16, 2009 - 11:00
1 hour (actually 50 minutes)
ISyE Executive Classroom
Georgia Tech, ISyE
I will describe a simple scheme for generating a valid inequality for a stochastic integer programs from a given valid inequality for its deterministic counterpart. Applications to stochastic lot-sizing problems will be discussed. This is joint work with Yongpei Guan and George Nemhauser and is based on the following two papers (1) Y. Guan, S. Ahmed and G.L. Nemhauser. "Cutting planes for multi-stage stochastic integer programs," Operations Research, vol.57, pp.287-298, 2009 (2) Y. Guan, S. Ahmed and G. L. Nemhauser. "Sequential pairing of mixed integer inequalities," Discrete Optimization, vol.4, pp.21-39, 2007 This is a joint DOS/ACO seminar.