TITLE:
Multicut L-Shaped Algorithm for Stochastic Convex Programming with Fuzzy Probability Distribution
AUTHORS:
Miaomiao Han, Xinshun MA
KEYWORDS:
stochastic convex programming; fuzzy probability distribution; two-stage problem; multicut L-shaped algorithm
JOURNAL NAME:
Open Journal of Applied Sciences,
Vol.2 No.4B,
January
16,
2013
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.