Solving Two-Stage Stochastic Linear Program Based Set Cover

This paper formalizes the two-stage recourse model and focuses on a stochastic generalization of the ordinary set cover problem to illustrate our technique for solving two-stage stochastic linear programs. The integrality constraints can be relaxed to yield a linear program. We give a compact formulation where only have the stage-1 variables and explain the basic idea by considering the two-stage stochastic set cover problem (SSC) and its formulation given by (SSC-P2). Furthermore, theorem forms for tacking various two-stage stochastic optimization problem be presented