Stochastic programming problem with fixed charge recourse

Stochastic programming problem with fixed charge recourse

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Article ID: iaor20084158
Country: Japan
Volume: 50
Issue: 4
Start Page Number: 299
End Page Number: 314
Publication Date: Dec 2007
Journal: Journal of the Operations Research Society of Japan
Authors: , ,
Keywords: programming: integer, programming: probabilistic
Abstract:

In this paper, we introduce a class of 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.

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