An Improved Cutting Plane method for the solution of Probabilistic Constrained Problem with Discrete Random Variables
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چکیده
We consider a probabilistic constrained stochastic programming problem with discrete random variables. Two methods, a cutting plane and a column generation method have already been developed for the solution of the problem. In this paper we blend them together and obtain a method that is faster than the earlier ones. We also present a refined algorithm for the generation of p-level efficient points of a discrete distribution.
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تاریخ انتشار 2012