Multicut L-Shaped Algorithm for Stochastic Convex Programming with Fuzzy Probability Distribution

Miaomiao Han, Xinshun MA

School of Mathematics and Physics North China Electric Power University Baoding, Hebei Province, China.

DOI: 10.4236/ojapps.2012.24B050                

Abstract

Two-stage problem of stochastic convex programming with fuzzy probability distribution is studied in this paper. Multicut L-shaped algorithm is proposed to solve the problem based on the fuzzy cutting and the minimax rule. Theorem of the convergence for the algorithm is proved. Finally, a numerical example about two-stage convex recourse problem shows the essential character and the efficiency.

Keywords

stochastic convex programming; fuzzy probability distribution; two-stage problem; multicut L-shaped algorithm

Conflicts of Interest

The authors declare no conflicts of interest.

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