Optimization of a linear function over the set of stochastic efficient solutions

Chaabane Djamal () and Mebrek Fatma

Computational Management Science, 2014, vol. 11, issue 1, 157-178

Abstract: In this paper we study the problem of optimization over an integer efficient set of a Multiple Objective Integer Linear Stochastic Programming problem. Once the problem is converted into a deterministic one by adapting the $$2$$ -levels recourse approach, a new pivoting technique is applied to generate an optimal efficient solution without having to enumerate all of them. This method combines both techniques, the L-shaped method and the combined method developed in Chaabane and Pirlot (J Ind Manag Optim 6:811–823, 2010 ). A detailed didactic example is given to illustrate different steps of our algorithm. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Multi-objective Programming; Stochastic Programming; 2-levels recourse model; Efficient solutions.; 90C29; 90C26; 90C10 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10287-012-0155-1

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