Ambiguous Chance-Constrained Binary Programs under Mean-Covariance Information
نویسندگان
چکیده
منابع مشابه
Ambiguous Chance-Constrained Bin Packing under Mean-Covariance Information
The bin packing structure arises in a wide range of service operational applications, where a set of items are assigned to multiple bins with fixed capacities. With random item weights, a chanceconstrained bin packing problem bounds, for each bin, the probability that the total weight of packed items exceeds the bin’s capacity. Different from the stochastic programming approaches relying on ful...
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We study joint chance constraints where the distribution of the uncertain parameters is onlyknown to belong to an ambiguity set characterized by the mean and support of the uncertaintiesand by an upper bound on their dispersion. This setting gives rise to pessimistic (optimistic)ambiguous chance constraints, which require the corresponding classical chance constraints to bes...
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In this paper we study ambiguous chance constrained problems where the distributions of the random parameters in the problem are themselves uncertain. We focus primarily on the special case where the uncertainty set Q of the distributions is of the form Q = {Q : ρp(Q, Q0) ≤ β}, where ρp denotes the Prohorov metric. The ambiguous chance constrained problem is approximated by a robust sampled pro...
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We consider a class of packing problems with uncertain data, which we refer to as the chance-constrained binary packing problem. In this problem, a subset of items is selected that maximizes the total profit so that a generic packing constraint is satisfied with high probability. Interesting special cases of our problem include chance-constrained knapsack and set packing problems with random co...
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2018
ISSN: 1052-6234,1095-7189
DOI: 10.1137/17m1158707