STOCHASTIC PROGRAMMING PROBLEM WITH FIXED CHARGE RECOURSE(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)

• Shiina Takayuki

  Central Research Institute of Electric Power Industry

• Tagaya Yu

  Canon System Solutions

• Morito Susumu

  Waseda University

書誌事項

タイトル別名

• Stochastic programming problem with fixed charge recourse

抄録

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.

収録刊行物

• 日本オペレーションズ・リサーチ学会論文誌

  日本オペレーションズ・リサーチ学会論文誌 50 (4), 299-314, 2007

  公益社団法人 日本オペレーションズ・リサーチ学会

キーワード

• Stochastic optimization
• stochastic programming with fixed charge recourse
• branch-and-cut
• generation planning

詳細情報

• CRID: 1390282679086693632
• NII論文ID: 110006532054
• NII書誌ID: AA00703935
• DOI: 10.15807/jorsj.50.299
• ISSN: 21888299
• ISSN: 04534514
• NDL書誌ID: 9316676
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I9316676
• Web Site: https://www.jstage.jst.go.jp/article/jorsj/50/4/50_KJ00004805411/_pdf
• 本文言語コード: en
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