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An L-shaped method with strengthened lift-and-project cuts

Author

Listed:
  • Pavlo Glushko

    (European University Viadrina)

  • Csaba I. Fábián

    (John von Neumann University)

  • Achim Koberstein

    (European University Viadrina)

Abstract

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.

Suggested Citation

  • Pavlo Glushko & Csaba I. Fábián & Achim Koberstein, 2022. "An L-shaped method with strengthened lift-and-project cuts," Computational Management Science, Springer, vol. 19(4), pages 539-565, October.
    • Handle: RePEc:spr:comgts:v:19:y:2022:i:4:d:10.1007_s10287-022-00426-y
    DOI: 10.1007/s10287-022-00426-y
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    References listed on IDEAS

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