Stochastic integer programming solution through a convexification method

Abstract

In this paper we present a solution method for stochastic integer problems. The method is a Benderstype algorithm that sequentially approximates the nonconvex recourse functions defined by the second stage subproblems. The presented convexification takes into account the domain that is induced by the collection of tender variables. The method is applied to a broad collection of stochastic integer programming problems taken from the literature and a summary of the numerical results is presented.