Polyhedral Stochastic Integer Programming

DATE: September 16, 2009

TIME: 11:00 AM – 12:00 PM

LOCATION: Executive classroom

FEES: none

EVENT CONTACT:

Anita Race, H. Milton Stewart School of Industrial and Systems Engineering
Contact Anita Race

TITLE: Polyhedral Stochastic Integer Programming

SPEAKER: Dr. Shabbir Ahmed

ABSTRACT:

I will describe a simple scheme for generating a valid inequality for a stochastic integer programs from a given valid inequality for its deterministic counterpart. Applications to stochastic lot-sizing problems will be discussed. This is joint work with Yongpei Guan and George Nemhauser and is based on the following two papers (preprints of the papers are available at http://www2.isye.gatech.edu/~sahmed/publications.html):

Y. Guan, S. Ahmed and G.L. Nemhauser. "Cutting planes for multi-stage stochastic integer programs," Operations Research, vol.57, pp.287-298, 2009

Y. Guan, S. Ahmed and G. L. Nemhauser. "Sequential pairing of mixed integer inequalities," Discrete Optimization, vol.4, pp.21-39, 2007