Name
Title | ||
|---|---|---|
Solving joint chance constrained problems using regularization and Benders’ decomposition |
Abstract | ||
|---|---|---|
We consider stochastic programs with joint chance constraints with discrete random distribution. We reformulate the problem by adding auxiliary variables. Since the resulting problem has a non-regular feasible set, we regularize it by increasing the feasible set. We solve the regularized problem by iteratively solving a master problem while adding Benders’ cuts from a slave problem. Since the number of variables of the slave problem equals to the number of scenarios, we express its solution in a closed form. We show convergence properties of the solutions. On a gas network design problem, we perform a numerical study by increasing the number of scenarios and compare our solution with a solution obtained by solving the same problem with the continuous distribution. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1007/s10479-018-3091-9 | Annals of Operations Research |
Keywords | DocType | Volume |
Stochastic programming, Chance constrained programming, Optimality conditions, Regularization, Benders’ decomposition, Gas networks, 90C15, 90C26, 49M05 | Journal | 292.0 |
Issue | ISSN | Citations |
SP2 | 1572-9338 | 0 |
PageRank | References | Authors |
0.34 | 32 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Lukás Adam | 1 | 14 | 3.56 |
| Martin Branda | 2 | 87 | 8.69 |
| Holger Heitsch | 3 | 0 | 0.34 |
| René Henrion | 4 | 305 | 29.65 |