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

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概要

• 論文の詳細を見る

• 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.

• 社団法人日本オペレーションズ・リサーチ学会の論文

著者

• TAGAYA Yu

  Canon IT Solutions Inc.

• Tagaya Yu

  Canon System Solutions

• Shiina Takayuki

  Central Research Institute of Electric Power Industry

• Morito Susumu

  Waseda University

関連論文

• Experimental Testing of Prediction Market System using VIPS, Gaussian Price Density and a Weighted-Average Type Market Maker
• STOCHASTIC PROGRAMMING PROBLEM WITH FIXED CHARGE RECOURSE(the 50th Anniversary of the Operations Research Society of Japan)
• NUMERICAL SOLUTION TECHNIQUE FOR JOINT CHANCE-CONSTRAINED PROGRAMMING PROBLEM : AN APPLICATION TO ELECTRIC POWER CAPACITY EXPANSION

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