Stochastic quadratic programming problems involving multi-choice parameters

Abstract

A new solution procedure is developed for stochastic quadratic programming model with some of the right hand side coefficients as multi-choice parameter and rest of the coefficients are considered as random variables. In the present paper, randomness is measured by exponential random variables and multi-choiceness is characterized by interpolating polynomial approach namely Lagrange interpolating polynomial. In order to solve the model, first convert the proposed model into an equivalent deterministic model; then remove the multi-choice parameter by using Lagrange interpolating polynomial. Finally, a suitable numerical example is presented to illustrate the proposed solution procedure.

Keywords:

• Stochastic quadratic programming
• Multi-choice parameter
• Exponential distribution
• Lagrange interpolating polynomials