## Abstract

One approach in stochastic programming involves minimizing the expectation of cost, which includes a recourse function to represent the penalties for constraint violation. A known solution for such problems uses the L-shaped method based on the Benders decomposition. Stochastic programming problems that take the variance of the recourse function into account are non-convex problems, and an exact solution based on the branch-and-bound method has previously been demonstrated. However, since there are cases where the lower bound for the variance of the recourse function used in the branch-and-bound method is not effective, we present a new lower bound and demonstrate the effectiveness of the resulting solution by a numerical experiment.

Original language | English |
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Pages (from-to) | 1851-1856 |

Number of pages | 6 |

Journal | ICIC Express Letters |

Volume | 8 |

Issue number | 7 |

Publication status | Published - 2014 Jul |

Externally published | Yes |

## Keywords

- Branch-and-bound
- Lower bound
- Stochastic programming

## ASJC Scopus subject areas

- Control and Systems Engineering
- Computer Science(all)