Optimization of stochastic planning models.
journal contributionposted on 01.01.1995, 00:00 by R. L. Clay, Ignacio E. Grossmann, Carnegie Mellon University.Engineering Design Research Center.
Abstract: "This paper considers stochastic linear programming models for production planning where cost coefficient and RHS term uncertainties are represented by finite discrete probability distribution functions. The solution of the two-stage fixed recourse problem is considered, for which a sensitivity-based successive disaggregation algorithm is outlined. The bounding properties of the aggregate sub-problems are examined in the context of the disaggregation algorithm. Illustrative examples of the two-stage algorithm are presented."