Stochastic programming problem wit fixed charge recourse

Takayuki Shiina, Yu Tagaya, Susumu Morito

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this paper, we introduce a clas stochastic programming problem with fixed charge recourse in which a fixed cost is imposed if the value of the continuous recourse variable is strictly positive. The algorithm of a branch-and-cut method to solve the problem is developed by using the property of the expected recourse function. Then, the problem is applied to a power generating system. The numerical experiments show that the proposed algorithm is quite efficient. The mathematical programming model defined in this paper is quite useful for a variety of design and operational problems.

Original languageEnglish
Pages (from-to)299-314
Number of pages16
JournalJournal of the Operations Research Society of Japan
Volume50
Issue number4
Publication statusPublished - 2007 Dec
Externally publishedYes

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Keywords

  • Branch-and-cut
  • Generation planning
  • Stochastic optimization
  • Stochastic programming with fixed charge recourse

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Decision Sciences(all)

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