Stochastic programming with binary second stage variables

Takayuki Shiina*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We consider a class of stochastic programming with binary recourse variables 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. 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)1407-1416
Number of pages10
JournalProcedia Computer Science
Issue number1
Publication statusPublished - 2010
Externally publishedYes


  • Branch-and-cut
  • Integer programming
  • Stochastic programming with recourse

ASJC Scopus subject areas

  • Computer Science(all)


Dive into the research topics of 'Stochastic programming with binary second stage variables'. Together they form a unique fingerprint.

Cite this