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Two-stage stochastic programming problems involving multi-choice parameters
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DOI：10.1016/j.amc.2014.03.036.png)
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Abstract
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In this paper, we propose a two-stage stochastic linear programming model considering some of the right hand side parameters of the first stage constraints as multi-choice parameters and rest of the right hand side parameters of the constraints as exponential random variables with known means. Both the randomness and multi-choiceness are simultaneously considered for the model parameters. Randomness is characterized by some random variables with its distribution and multi-choiceness is handled by using interpolating polynomials. To solve the proposed problem, first we remove the fuzziness and then for multi-choice parameters interpolating polynomials are established. After establishing the deterministic equivalent of the model, standard mathematical programming technique is applied to solve the problem. A numerical example is presented to demonstrate the usefulness of the proposed methodology. (C) 2014 Elsevier Inc. All rights reserved.
Keywords:
Stochastic programming
Two-stage stochastic programming
Exponential random variables
Multi-choice parameter
Lagrange interpolating polynomials
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