Author(s)

Miaomiao Han, Xinshun MA

School of Mathematics and Physics North China Electric Power University Baoding, Hebei Province, China.

Two-stage problem of stochastic convex programming with fuzzy probability distribution is studied in this paper. Multicut L-shaped algorithm is proposed to solve the problem based on the fuzzy cutting and the minimax rule. Theorem of the convergence for the algorithm is proved. Finally, a numerical example about two-stage convex recourse problem shows the essential character and the efficiency.

stochastic convex programming; fuzzy probability distribution; two-stage problem; multicut L-shaped algorithm

Han, M. and MA, X. (2012) Multicut L-Shaped Algorithm for Stochastic Convex Programming with Fuzzy Probability Distribution. Open Journal of Applied Sciences, 2, 219-222. doi: 10.4236/ojapps.2012.24B050.