# 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 language English 299-314 16 Journal of the Operations Research Society of Japan 50 4 Published - 2007 Dec Yes

### Fingerprint

Fixed charge
Stochastic programming
Fixed costs
Numerical experiment
Mathematical programming

### 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)

### Cite this

Stochastic programming problem wit fixed charge recourse. / Shiina, Takayuki; Tagaya, Yu; Morito, Susumu.

In: Journal of the Operations Research Society of Japan, Vol. 50, No. 4, 12.2007, p. 299-314.

Research output: Contribution to journalArticle

@article{41986afa9e4f4234876efc9dcae5a74d,
title = "Stochastic programming problem wit fixed charge recourse",
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.",
keywords = "Branch-and-cut, Generation planning, Stochastic optimization, Stochastic programming with fixed charge recourse",
author = "Takayuki Shiina and Yu Tagaya and Susumu Morito",
year = "2007",
month = "12",
language = "English",
volume = "50",
pages = "299--314",
journal = "Journal of the Operations Research Society of Japan",
issn = "0453-4514",
publisher = "Operations Research Society of Japan",
number = "4",

}

TY - JOUR

T1 - Stochastic programming problem wit fixed charge recourse

AU - Shiina, Takayuki

AU - Tagaya, Yu

AU - Morito, Susumu

PY - 2007/12

Y1 - 2007/12

N2 - 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.

AB - 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.

KW - Branch-and-cut

KW - Generation planning

KW - Stochastic optimization

KW - Stochastic programming with fixed charge recourse

UR - http://www.scopus.com/inward/record.url?scp=39649101904&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=39649101904&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:39649101904

VL - 50

SP - 299

EP - 314

JO - Journal of the Operations Research Society of Japan

JF - Journal of the Operations Research Society of Japan

SN - 0453-4514

IS - 4

ER -