Enhanced Cut Generation Methods for Decomposition-Based Branch and Cut for Two-Stage Stochastic Mixed-Integer Programs

INFORMS Journal on Computing · 2009 · Volume 21 · Issue 3

Abstract

This paper is devoted to a study of computational speed-ups that may be possible in cut generation associated with decomposition-based branch-and-cut methods (e.g., D 2 -BAC) for stochastic mixed-integer programs (SMIPs). We discuss some bottlenecks in the cut generation process and suggest several enhancements to speed up this process. Our computational results show that significant improvements (approximately 50% reduction in computation times) may be possible by streamlining the computations associated with the cut generation process. This paper establishes new benchmarks for serial processing of two-stage SMIPs.

Keywords

stochastic mixed-integer programming, disjunctive decomposition, cut generation, stochastic server location

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