POLYNOMIAL APPROXIMATION METHOD FOR STOCHASTIC PROGRAMMING Dongxue Ma October 2nd, 2009 Two stage stochastic programming is an important part in the whole area of stochastic programming, and is widely spread in multiple disciplines, such as financial management, risk management, and logistics. The two stage stochastic programming is a natural extension of linear programming by incorporating unc...

We consider power system expansion planning under uncertainty. In our approach, integer programming and stochastic programming provide a basic framework. We develop a multistage stochastic programming model in which some of the variables are restricted to integer values. By utilizing the special property of the problem, called block separable recourse, the problem is transformed into a two-stag...

This paper presents an investigation on the computational complexity of stochastic optimization problems. We discuss a scenariobased model which captures the important classes of two-stage stochastic combinatorial optimization, two-stage stochastic linear programming, and two-stage stochastic integer linear programming. This model can also be used to handle chance constraints, which are used in...

Robust supplier selection problem, in a scenario-based approach has been proposed, when the demand and exchange rates are subject to uncertainties. First, a deterministic multi-objective mixed integer linear programming is developed; then, the robust counterpart of the proposed mixed integer linear programming is presented using the recent extension in robust optimization theory. We discuss dec...

This paper deals with the determination of machine numbers and production schedules in manufacturing environments. In this line, a two-stage fuzzy stochastic programming model is discussed with fuzzy processing times where both deterioration and learning effects are evaluated simultaneously. The first stage focuses on the type and number of machines in order to minimize the total costs associat...