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: | Morito Susumu, Shiina Takayuki, Tagaya Yu |
Keywords: | programming: integer, programming: probabilistic |
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.