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math.OC2024

Using Less for More: When Warm-Starting Accelerates Branch-and-Cut for Stochastic Programs

Berend Markhorst, Markus Leitner, Joost Berkhout +2

Two-stage stochastic programs quickly become intractable as the number of scenarios grows. Motivated by this, we propose TULIP, a modular and easy-to-implement three-step warm-star…