An Improved Cutting Plane method for the solution of Probabilistic Constrained Problem with Discrete Random Variables

نویسندگان

  • Emre Yamangil
  • András Prékopa
چکیده

We consider a probabilistic constrained stochastic programming problem with discrete random variables. Two methods, a cutting plane and a column generation method have already been developed for the solution of the problem. In this paper we blend them together and obtain a method that is faster than the earlier ones. We also present a refined algorithm for the generation of p-level efficient points of a discrete distribution.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Solution of Probabilistic Constrained Stochastic Programming Problems with Poisson, Binomial and Geometric Random Variables

Probabilistic constrained stochastic programming problems are considered with discrete random variables on the r.h.s. in the stochastic constraints. It is assumed that the random vector has multivariate Poisson, binomial or geometric distribution. We prove a general theorem that implies that in each of the above cases the c.d.f. majorizes the product of the univariate marginal c.d.f’s and then ...

متن کامل

Optimal Solution in a Constrained Distribution System

We develop a method to obtain an optimal solution for a constrained distribution system with several items and multi-retailers. The objective is to determine the procurement frequency as well as the joint shipment interval for each retailer in order to minimize the total costs. The proposed method is applicable to both nested and non-nested policies and ends up with an optimal solution. To solv...

متن کامل

Splittable stochastic project scheduling with constrained renewable resource

This paper discusses the problem of allocation of constrained renewable resource to splittable activities of a single project. If the activities of stochastic projects can be split, these projects may be completed in shorter time when the available resource is constrained. It is assumed that the resource amount required to accom-plish each activity is a discrete quantity and deterministic. The ...

متن کامل

An improved genetic algorithm for multidimensional optimization of precedence-constrained production planning and scheduling

Integration of production planning and scheduling is a class of problems commonly found in manufacturing industry. This class of problems associated with precedence constraint has been previously modeled and optimized by the authors, in which, it requires a multidimensional optimization at the same time: what to make, how many to make, where to make and the order to make. It is a combinatorial,...

متن کامل

Probabilistic Multi Objective Optimal Reactive Power Dispatch Considering Load Uncertainties Using Monte Carlo Simulations

Optimal Reactive Power Dispatch (ORPD) is a multi-variable problem with nonlinear constraints and continuous/discrete decision variables. Due to the stochastic behavior of loads, the ORPD requires a probabilistic mathematical model. In this paper, Monte Carlo Simulation (MCS) is used for modeling of load uncertainties in the ORPD problem. The problem is formulated as a nonlinear constrained mul...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2012