Approximating two-stage chance-constrained programs with classical probability bounds
نویسندگان
چکیده
منابع مشابه
Decomposition algorithms for two-stage chance-constrained programs
We study a class of chance-constrained two-stage stochastic optimization problems where second-stage feasible recourse decisions incur additional cost. In addition, we propose a new model, where “recovery” decisions are made for the infeasible scenarios to obtain feasible solutions to a relaxed second-stage problem. We develop decomposition algorithms with specialized optimality and feasibility...
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ژورنال
عنوان ژورنال: Optimization Letters
سال: 2019
ISSN: 1862-4472,1862-4480
DOI: 10.1007/s11590-019-01387-z