Stochastic programming problem wit fixed charge recourse

Takayuki Shiina, Yu Tagaya, Susumu Morito

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)299-314
ページ数16
ジャーナルJournal of the Operations Research Society of Japan
50
4
DOI
出版ステータスPublished - 2007 12
外部発表はい

ASJC Scopus subject areas

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

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