Stochastic Programming considering Variance

Abstract

In this paper, the two-stage stochastic programming problem considering variance is considered, where the objective function includes the variance of the recourse cost. The problem is a non-convex minimization problem and the exact solution method based on the branch-and-bound is proposed. We present the new lower bound for the objective function. It is shown that the solution algorithm using the new lower bound is effective to solve the problem.