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Totally unimodular multistage stochastic programs

Ruichen (Richard) Sun,Oleg V. Shylo,Andrew J. Schaefer

Operations Research Letters（2015）

Cited 7|Views18
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Abstract
We consider totally unimodular multistage stochastic programs, that is, multistage stochastic programs whose extensive-form constraint matrices are totally unimodular. We establish several sufficient conditions and identify examples that have arisen in the literature.
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Key words
Stochastic mixed integer programming,Total unimodularity,Multistage optimization
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