Optimization of a linear function over the set of stochastic efficient solutions
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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.
KeywordsMulti-objective Programming Stochastic Programming 2-levels recourse model Efficient solutions.
Mathematics Subject Classification (2000)90C29 90C26 90C10
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