Orateur
Description
We present a general price-and-cut procedure for two-stage stochastic integer programs with complete recourse, and first-stage binary variables. We propose a novel set of cutting planes that can close the optimality gap when added to the Dantzig-Wolfe decomposition master problem. It is shown to provide a finite exact algorithm for a number of stochastic integer programs, even in the
presence of integer variables or continuous random variables in the second stage. Moreover, we propose stabilization techniques to reduce computation time. We apply the methodology to an application in energy. In this problem, the goal is to improve the resilience of the electricity grid using mobile power generators in the aftermath of a natural disaster. In the first stage of the problem, we decide which substations in the network to adapt to allow mobile power generators to connect to the grid, whereas the second-stage decisions are how to employ the mobile power generators.
