### 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 language | English |
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Pages (from-to) | 1407-1416 |

Number of pages | 10 |

Journal | Unknown Journal |

Volume | 1 |

Issue number | 1 |

DOIs | |

Publication status | Published - 2010 |

Externally published | Yes |

### Fingerprint

### Keywords

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

### ASJC Scopus subject areas

- Computer Science(all)

### Cite this

**Stochastic programming with binary second stage variables.** / Shiina, Takayuki.

Research output: Contribution to journal › Article

*Unknown Journal*, vol. 1, no. 1, pp. 1407-1416. https://doi.org/10.1016/j.procs.2010.04.156

}

TY - JOUR

T1 - Stochastic programming with binary second stage variables

AU - Shiina, Takayuki

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - Branch-and-cut

KW - Integer programming

KW - Stochastic programming with recourse

UR - http://www.scopus.com/inward/record.url?scp=78650292109&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=78650292109&partnerID=8YFLogxK

U2 - 10.1016/j.procs.2010.04.156

DO - 10.1016/j.procs.2010.04.156

M3 - Article

VL - 1

SP - 1407

EP - 1416

JO - Nuclear Physics A

JF - Nuclear Physics A

SN - 0375-9474

IS - 1

ER -