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

Manish Bansal, Kuo Ling Huang, Sanjay Mehrotra

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

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 (2003), pp. 73–88] to TSS-MIPs. Furthermore, we consider second stage programs that are generalizations of the well-known mixing (and continuous mixing) set, or certain piecewise-linear convex objective integer programs. These results allow us to relax the integrality restrictions on the second stage integer variables without effecting the integrality of the optimal solution of the TSS-MIP. We also use four variants of the two-stage stochastic capacitated lot-sizing problems as test problems for computational experiments and present tight second stage formulations for these problems. Our computational results show that adding parametric inequalities that a priori convexify the second stage formulation significantly reduces the total solution time taken to solve these problems.

Original languageEnglish (US)
Pages (from-to)788-819
Number of pages32
JournalSIAM Journal on Optimization
Volume28
Issue number1
DOIs
StatePublished - 2018

Keywords

  • Capacitated lot-sizing with backlogging
  • Continuous multi-mixing set
  • Convex hull
  • Discrete lot-sizing
  • Parametric cuts
  • Tight extended formulation
  • Two-stage stochastic mixed integer program

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science

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