Solving Chance-Constrained Problems via a Smooth Sample-Based Nonlinear Approximation
نویسندگان
چکیده
منابع مشابه
Solving chance-constrained combinatorial problems to optimality
The aim of this paper is to provide new efficient methods for solving general chance-constrained integer linear programs to optimality. Valid linear inequalities are given for these problems. They are proved to characterize properly the set of solutions. They are based on a specific scenario, whose definition impacts strongly on the quality of the linear relaxation built. A branch-and-cut algor...
متن کاملA New Partial Sample Average Approximation Method for Chance Constrained Problems
In this paper, we present a new scheme of a sampling method to solve chance constrained programs. First of all, a modified sample average approximation, namely Partial Sample Average Approximation (PSAA) is presented. The main advantage of our approach is that the PSAA problem has only continuous variables whilst the standard sample average approximation (SAA) contains binary variables. Althoug...
متن کاملChance constrained problems: penalty reformulation and performance of sample approximation technique
We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6, 11]. The obtained problems with penalties and with a fixed set of feasible so...
متن کاملOptimization Approaches for Solving Chance Constrained Stochastic Orienteering Problems
Orienteering problems (OPs) are typically used to model routing and trip planning problems. OP is a variant of the well known traveling salesman problem where the goal is to compute the highest reward path that includes a subset of nodes and has an overall travel time less than the specified deadline. Stochastic orienteering problems (SOPs) extend OPs to account for uncertain travel times and a...
متن کاملSolving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities
We study a complex class of stochastic programming problems involving a joint chance constraint with random technology matrix and stochastic quadratic inequalities. We present a basic mixedinteger nonlinear reformulation based on Boolean modeling and derive several variants of it. We present detailed empirical results comparing the various reformulations and several easy to implement algorithmi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2020
ISSN: 1052-6234,1095-7189
DOI: 10.1137/19m1261985