Strengthened Benders Cuts for Stochastic Integer Programs with Continuous Recourse

With stochastic integer programming as the motivating application, we investigate techniques to use integrality constraints to obtain improved cuts within a Benders decomposition algorithm. We compare the effect of using cuts in two ways: (i) cut-and-project, where integrality constraints are used to derive cuts in the extended variable space, and Benders cuts are then used to project the resulting improved relaxation, and (ii) project-and-cut, where integrality constraints are used to derive cuts directly in the Benders reformulation. For the case of split cuts, we demonstrate that although these approaches yield equivalent relaxations when considering a single split disjunction, cut-and-project yields stronger relaxations in general when using multiple split disjunctions. Computational results illustrate that the difference can be very large, and demonstrate that using split cuts within the cut-and-project framework can significantly improve the performance of Benders decomposition.

By: Merve Bodur, Sanjeeb Dash, Oktay Günlük, James Luedtke

Published in: INFORMS Journal on Computing, volume 29, (no 1), pages 77-91; 10.1287/ijoc.2016.0717 in 2017

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