Abstract:

The recourse-based stochastic programming generally assumes that the probability distribution of the random variables has complete information, but the actual situation is that we often get only part of the information. In this paper, we establish a two-stage stochastic programming model with MaxEMin evaluation under linear partial information of discrete probability distribution. We use quadratic programming and the dual decomposition method to get the feasible and optimal cuttings, then give an algorithm based on the L-shaped method. Finally, a numerical example shows the effectiveness of the proposed algorithm.

Key words: stochastic programming, incomplete probability distribution, recourse function, quadratic programming, L-shaped algorithm