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Multicut L-Shaped Algorithm for Stochastic Convex Programming with Fuzzy Probability Distribution

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DOI: 10.4236/ojapps.2012.24B050    1,577 Downloads   2,666 Views   Citations


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.

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The authors declare no conflicts of interest.

Cite this paper

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.


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