Monte Carlo (importance) sampling within a benders decomposition algorithm for stochastic linear programs
نویسنده
چکیده
A method employing decomposition techniques and Monte Carlo sampling (importance sampling) to solve stochastic linear programs is described and applied to capacity expansion planning problems of electric utilities. We consider uncertain availability of generators and transmission lines and uncertain demand. Numerical results are presented.
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ورودعنوان ژورنال:
- Annals OR
دوره 39 شماره
صفحات -
تاریخ انتشار 1992