On Lower Bounds For Stochastic Programming Problem Considering Variance

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  • 分散を考慮した確率計画問題における下界
  • ブンサン オ コウリョ シタ カクリツ ケイカク モンダイ ニ オケル ゲカイ

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Abstract

In this paper, the two-stage stochastic programming problem is considered where the objective function includes the variance of the recourse cost. The problem is a nonconvex minimization problem and the exact solution method based on the branch-and-bound was proposed. We present the new lower bound for the objective function. It is shown that the solution algorithm using the new lower bound is effective to solve the problem.

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