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Computational Management Science

, Volume 11, Issue 1–2, pp 157–178 | Cite as

Optimization of a linear function over the set of stochastic efficient solutions

  • Chaabane DjamalEmail author
  • Mebrek Fatma
Original Paper
  • 171 Downloads

Abstract

In this paper we study the problem of optimization over an integer efficient set of a Multiple Objective Integer Linear Stochastic Programming problem. Once the problem is converted into a deterministic one by adapting the \(2\)-levels recourse approach, a new pivoting technique is applied to generate an optimal efficient solution without having to enumerate all of them. This method combines both techniques, the L-shaped method and the combined method developed in Chaabane and Pirlot (J Ind Manag Optim 6:811–823, 2010). A detailed didactic example is given to illustrate different steps of our algorithm.

Keywords

Multi-objective Programming Stochastic Programming   2-levels recourse model Efficient solutions. 

Mathematics Subject Classification (2000)

90C29 90C26 90C10 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Faculty of Mathematics, Operations Research DepartmentUSTHBAlgiersAlgeria

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