The integer programming background of a stochastic integer programming algorithm of Dentcheva-Prékopa-Ruszczyński

Optimization Methods and Software

Volumn 17, Issue 3 SPEC., 2002, Pages 543-559

  Vizvári, Béla ^a  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

Author keywords

GUB constraints; Lagrange multipliers; Probabilistic integer programming

Indexed keywords

ALGORITHMS; CONSTRAINT THEORY; LAGRANGE MULTIPLIERS; PROBABILITY; STOCHASTIC PROGRAMMING;

ALGORITHMIC TOOLS; PROBABILISTIC INTEGER PROGRAMMING;

INTEGER PROGRAMMING;

EID: 0036592147     PISSN: 10556788     EISSN: None     Source Type: Journal    
DOI: 10.1080/1055678021000034017     Document Type: Article

References (12)

1. R. Brooks and A. Geoffrion (1966). Finding Everett's Lagrange multipliers by linear programming. Operations Research, 14, 1149-1153.
2. D. Dentcheva, A. Prékopa and A. Ruszczyński. Bounds for probabilistic integer programming problems. RUTCOR, Rutgers University, NJ, RRR 31-99.
3. D. Dentcheva, A. Prékopa and A. Ruszczyński (2000). Concavity and efficient points of discrete distributions in probabilistic programming, RUTCOR. Mathematical Programming, Ser. A, 89, 55-77.
4. H. Everett (1967). Generalized Lagrange's multiplier method for solving problems of optimum allocation. Operations Research, 11, 399-419.
5. F. Glover and D. Klingman (1979). A O(n log n) algorithm for LP knapsacks with GUB constraints. Mathematical Programming, 17, 345-361.
6. P.L. Hammer and R. Holzman (1992). Approximations of pseudo-Boolean functions, applications to game theory. Zeitschrift für Operations Research, 36(1), 3-21.
7. A. Prékopa (1990). Dual methods for a one-stage stochastic programming problem with random rhs obeying a discrete probability distribution. Zeitschrift für Operations Research, 34, 441-461.
8. A. Prékopa, B. Vizvári and T. Badics. Programming under probabilistic constraint with discrete random variables. In: New Trends in Mathematical Programming, pp. 235-255. Kluwer Academic Publishers, Boston, 1998.
9. B. Vizvári (1978). Lagrange multipliers in integer programming. Problems of Control and Information Theory, 7, 393-406.
10. B. Vizvári (1987). Beiträge zum Frobenius Problem. Dr. sc. nat. Theses, Technische Hochschule "Carl Schorlemmer". Leuna-Merseburg.
11. B. Vizvári (1989). Integer Programming, Textbook. Eötvös Loránd University of Budapest.
12. Witzgall (1977). One one-row linear programs. In: External methods and System Analysis, Proceedings of International Symposion, pp. 384-414. University of Texas, Austin.