TWO-STAGE STOCHASTIC PROGRAMMING PROBLEM CONSIDERING VARIANCE

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  • 分散を考慮した2段階確率計画問題
  • ブンサン オ コウリョ シタ 2 ダンカイ カクリツ ケイカク モンダイ

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We study the two-stage stochastic programming problem considering variance, where the traditional expected minimization objective is replaced by one that explicitly addresses cost variability. It is shown that the problem is a nonconvex minimization problem by Ahmed (2006). In this paper, we propose an exact branch-and-bound algorithm to solve the problem. The model is applied to the power system capacity expansion problem under uncertain power demand. Computational experiments illustrate the effectiveness of the model in deriving the efficient frontier.

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