Relating single-scenario facets to the convex hull of the extensive form of a stochastic single-node flow polytope

Abstract

We study when a facet-defining inequality for a deterministic, single-scenario subproblem is also facet-defining for the extensive form of a two-stage stochastic mixed-integer linear program (SMIP). To answer this question, we introduce a novel stochastic variant of the well-known single-node flow (SNF) polytope, and present necessary and sufficient conditions for single-scenario facet-defining inequalities to be facet-defining for the extensive form. We further demonstrate that our stochastic SNF polytope is a relaxation of a broad subclass of SMIPs, illustrating its generality.