On Stochastic Integer Programming under Probabilistic Constraints
نویسنده
چکیده
We consider stochastic programming problems with probabilistic constraints in volving integer valued random variables The concept of p e cient points of a prob ability distribution is used to derive various equivalent problem formulations Next we modify the concept of r concave discrete probability distributions and analyse its relevance for problems under consideration These notions are used to derive new lower and upper bounds for the optimal value of probabilistically constrained stochastic programming problems with integer random variables We also show how limited information about the distribution can be used to construct such bounds
منابع مشابه
A branch and bound method for stochastic integer problems under probabilistic constraints
Stochastic integer programming problems under probabilistic constraints are considered. Deterministic equivalent formulations of the original problem are obtained by using p-eecient points of the probability distribution function. A branch and bound solution method is proposed based on a partial enumeration of the set of these points. The numerical experience with the probabilistic lot-sizing p...
متن کاملA multi-product vehicle routing scheduling model with time window constraints for cross docking system under uncertainty: A fuzzy possibilistic-stochastic programming
Mathematical modeling of supply chain operations has proven to be one of the most complex tasks in the field of operations management and operations research. Despite the abundance of several modeling proposals in the literature; for vast majority of them, no effective universal application is conceived. This issue renders the proposed mathematical models inapplicable due largely to the fact th...
متن کاملA Chance Constrained Integer Programming Model for Open Pit Long-Term Production Planning
The mine production planning defines a sequence of block extraction to obtain the highest NPV under a number of constraints. Mathematical programming has become a widespread approach to optimize production planning, for open pit mines since the 1960s. However, the previous and existing models are found to be limited in their ability to explicitly incorporate the ore grade uncertainty into the p...
متن کاملMulti-choice stochastic bi-level programming problem in cooperative nature via fuzzy programming approach
In this paper, a Multi-Choice Stochastic Bi-Level Programming Problem (MCSBLPP) is considered where all the parameters of constraints are followed by normal distribution. The cost coefficients of the objective functions are multi-choice types. At first, all the probabilistic constraints are transformed into deterministic constraints using stochastic programming approach. Further, a general tran...
متن کاملOn Convex Probabilistic Programming with Discrete Distributions
We consider convex stochastic programming problems with probabilistic constraints involving integer valued random variables The concept of a p e cient point of a probability distribution is used to derive various equivalent problem for mulations Next we introduce the concept of r concave discrete probability distri butions and analyse its relevance for problems under consideration These notions...
متن کامل