302 Introduction to Linear Optimization and Extensions with MATLAB
R
Van Slyke and Wets (1969) provides a decomposition of the primal prob-
lem into a master problem and subproblems, but generates constraints. The
motivation for the master problem is to approximate the expected recourse
function Q(x) by creating an outer approximation. The master problem will
generate a first-stage decision x. The subproblems are the recourse problems
and will take the x from the master problem and then find the best recourse
decisions. For any subproblem that is infeasible at x (i.e., it is impossible to
generate recourse decisions using x), a feasibility constraint is added to the
master problem. If all subproblems have finite optimal recourse at x, then a
constrain ...