A cutting-plane approach to mixed 0-1 stochastic integer programs

We consider a mixed 0-1 integer programming problem with dual block-angular structure arising in two-stage stochastic programming. A relaxation is proposed such that the problem is decomposed into subproblems each corresponding to the outcomes of the random variable. The convex hull of feasible solutions for the re laxation is characterized using results from disjunctive programming and it is shown how Lift-and-Project cuts can be generated for one subproblem and made valid far different outcomes. (C) 1997 Elsevier Science B.V.