Sample Average Approximation Approach for Solving a Class of Two-Stage Stochastic Integer Programs
Fatma Syarah1, Togi2, Herman Mawengkang3
1Fatma Syarah, Graduate, School of Mathematics, University Negeri Medan University of Sumatera Utara, Indonesia.
2Togi, Department of Mathematics, University of Sumatera Utara, Indonesia.
3Herman Mawengkang, University of Sumatera Utara, Indonesia.
Manuscript received on 09 May 2019 | Revised Manuscript received on 19 May 2019 | Manuscript Published on 23 May 2019 | PP: 1463-1468 | Volume-7 Issue-6S5 April 2019 | Retrieval Number: F12590476S519/2019©BEIESP
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: Two-stage stochastic integer programming problems arise in many practical sit-uations, such as production and manpower planning, portfolio selections and so on. In general, the deterministic equivalences of these problems can be very large, and may not be solvable directly by general-purpose optimization approaches. Sample average approximation is an approach for solving chance constrained programming is adopted. After using scenario analysis technique, a direct search approach based on reduced gradient method is used for solving the deterministic model which would be a nonlinear integer program.
Keywords: Programs Integer Approximation Production Planning Analysis.
Scope of the Article: Program Understanding and System Maintenance