Optimization Over Stochastic Integer Efficient Set

Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 31)

Abstract

In this paper we study the problem of optimizing a linear function over an integer efficient solution set of a Multiple objective Stochastic Integer Linear Programming problem (MOSILP). 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 two techniques, the L-Shaped method and the combined method developed in [Kall, Stochastic Linear Programming (1976)]. A detailed didactic example is given to illustrate different steps of our algorithm.

Key words

Multi-objective programming Stochastic programming 2-levels recourse model Efficient solutions 

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.USTHB UniversityAlgiersAlgeria
  2. 2.ENSTP-KOUBAAlgiersAlgeria

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