Stochastic programming with binary second stage variables

Research output: Contribution to journalArticle

Abstract

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
JournalUnknown Journal
Volume1
Issue number1
DOIs
Publication statusPublished - 2010
Externally publishedYes

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Keywords

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

ASJC Scopus subject areas

  • Computer Science(all)

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