Stochastic programming problem wit fixed charge recourse

Takayuki Shiina*, Yu Tagaya, Susumu Morito

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


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
Issue number4
Publication statusPublished - 2007 Dec
Externally publishedYes


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

ASJC Scopus subject areas

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


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