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- Publisher
- Springer Journals
- Copyright
- Copyright © 1980 by The Mathematical Programming Society
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Mathematics of Computing; Numerical Analysis; Combinatorics; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics
- ISSN
- 0025-5610
- eISSN
- 1436-4646
- DOI
- 10.1007/BF01581648
- Publisher site
- See Article on Publisher Site
Abstract
Stochastic programs with continuous variables are often solved using a cutting plane method similar to Benders' partitioning algorithm. However, mixed 0–1 integer programs are also solved using a similar procedure along with enumeration. This similarity is exploited in this paper to solve two stage linear programs under uncertainty where the first stage variables are 0–1. Such problems often arise in capital investment. A network investment application is given which includes as a special case a coal transportation problem.
Journal
Mathematical Programming – Springer Journals
Published: Apr 13, 2005