An L-shaped method with strengthened lift-and-project cuts
Lift-and-project (L &P) cuts are well-known general 0–1 programming cuts which are typically deployed in branch-and-cut methods to solve MILP problems. In this article, we discuss ways to use these cuts within the framework of Benders’ decomposition algorithms for solving two-stage mixed-binary...
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Veröffentlicht in: | Computational management science 2022-10, Vol.19 (4), p.539-565 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | Lift-and-project (L &P) cuts are well-known general 0–1 programming cuts which are typically deployed in branch-and-cut methods to solve MILP problems. In this article, we discuss ways to use these cuts within the framework of Benders’ decomposition algorithms for solving two-stage mixed-binary stochastic problems with binary first-stage variables and continuous recourse. In particular, we show how L &P cuts derived for the master problem can be strengthened with the second-stage information. An adapted L-shaped algorithm and its computational efficiency analysis is presented. We show that the strengthened L &P cuts can significantly reduce the number of iterations and the solution time. |
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ISSN: | 1619-697X 1619-6988 |
DOI: | 10.1007/s10287-022-00426-y |