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.
|ジャーナル||Journal of the Operations Research Society of Japan|
|出版ステータス||Published - 2007 12|
ASJC Scopus subject areas
- Decision Sciences(all)
- Management Science and Operations Research