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.
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Djamal, C., Fatma, M. Optimization of a linear function over the set of stochastic efficient solutions. Comput Manag Sci 11, 157–178 (2014). https://doi.org/10.1007/s10287-012-0155-1
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DOI: https://doi.org/10.1007/s10287-012-0155-1