The integer programming background of a stochastic integer programming algorithm of dentcheva‐prékopa‐ruszczyński

This paper analyzes the algorithmic tools presented in [D. Dentcheva, A. Prekopa and A. Ruszczy ` ski. Bounds for Probabilistic Integer Programming Problems, RUTCOR, Rutgers University, NJ, RRR 31-99; D. Dentcheva, A. Prekopa and A. Ruszczy ` ski (2000). Concavity and efficient points of discrete distributions in probabilistic programming. Mathematical Programming, Ser. A , 89 , 55-77]. The emphasis is on the choice of Lagrange multipliers and the solution for the special case of independent random variables.