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Totally Unimodular Multistage Stochastic Programs

Ruichen (Richard) Sun (rus19***at***pitt.edu)
Oleg V. Shylo (oshylo***at***utk.edu)
Andrew J. Schaefer (schaefer***at***pitt.edu)

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.

Keywords: Stochastic mixed integer programming; Total unimodularity; Multistage optimization

Category 1: Stochastic Programming

Citation: Ruichen (Richard) Sun, Oleg V. Shylo, Andrew J. Schaefer, Totally unimodular multistage stochastic programs, Operations Research Letters, Volume 43, Issue 1, January 2015, Pages 29-33.

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Entry Submitted: 11/03/2014
Entry Accepted: 11/03/2014
Entry Last Modified: 11/23/2014

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