### 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 |
---|---|

Pages (from-to) | 299-314 |

Number of pages | 16 |

Journal | Journal of the Operations Research Society of Japan |

Volume | 50 |

Issue number | 4 |

Publication status | Published - 2007 Dec |

Externally published | Yes |

### Fingerprint

### 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

*Journal of the Operations Research Society of Japan*,

*50*(4), 299-314.

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

Research output: Contribution to journal › Article

*Journal of the Operations Research Society of Japan*, vol. 50, no. 4, pp. 299-314.

}

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

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 -